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Journal of
Economic Literature (JEL) codes Top JEL G: Financial EconomicsG1: General Financial MarketsG13: Contingent Pricing; Futures Pricing
2009 The European Commission and EUA prices: a high-frequency analysis of the EC's decisions on second NAPs by Rotfuß, Waldemar & Conrad, Christian & Rittler, Daniel [Downloadable!] 2009 Intraday price formation and volatility in the European Union emissions trading scheme: an introductory analysis by Rotfuß, Waldemar [Downloadable!] 2009 Modelling the Evolution of Credit Spreads using the Cox process within the HJM framework: A CDS Option Pricing Model by Carl Chiarella & Viviana Fanelli & Silvana Musti [Downloadable!] 2009 A Benchmark Approach to Investing and Pricing by Eckhard Platen [Downloadable!] 2009 Asset Markets and Monetary Policy by Eckhard Platen & Willi Semmler [Downloadable!] 2009 Alternative Defaultable Term Structure Models by Nicola Bruti-Liberati & Christina Nikitopoulos-Sklibosios & Eckhard Platen & Erik Schlogl [Downloadable!] 2009 Pricing caps with HJM models: the benefits of humped volatility by Jury Falini [Downloadable!] 2009 Option trading strategies based on semi-parametric implied volatility surface prediction by Francesco Audrino & Dominik Colangelo [Downloadable!] 2009 Pricing and Hedging of Asian Options: Quasi-Explicit Solutions via Malliavin Calculus by Zhaojun Yang & Christian-Oliver Ewald & Olaf Menkens [Downloadable!] 2009 Option Pricing Under Lévy Processes: A Unifying Formula by Rossella Agliardi [Downloadable!] 2009 Extension of Spot Recovery Model for Gaussian Copula by Li, Hui [Downloadable!] 2009 Effects of market sentiment in index option pricing: a study of CNX NIFTY index option by Nagarajan, Thirukumaran & Malipeddi, Koteswararao [Downloadable!] 2009 A Quasi-analytical Interpolation Method for Pricing American Options under General Multi-dimensional Diffusion Processes by Li, Minqiang [Downloadable!] 2009 Alternative Tilts for Nonparametric Option Pricing by Walker, Todd B & Haley, M. Ryan [Downloadable!] 2009 How Duration Between Trades of Underlying Securities Affects Option Prices by Cartea, Álvaro & Meyer-Brandis, Thilo [Downloadable!] 2009 On Models of Stochastic Recovery for Base Correlation by Li, Hui [Downloadable!] 2009 Term Structure Equations Under Benchmark Framework by El Qalli, Yassine [Downloadable!] 2009 A fundamental power price model with oligopolistic competition representation by Vazquez, Miguel & Barquín, Julián [Downloadable!] 2009 Analytical Approximations for the Critical Stock Prices of American Options: A Performance Comparison by Minqiang Li, Li [Downloadable!] 2009 Interest Rate Model in a Contingent Claim Framework by Giandomenico, Rossano [Downloadable!] 2009 Modeling long-term electricity forward prices by Povh, Martin & Fleten, Stein-Erik [Downloadable!] 2009 New renewable electricity capacity under uncertainty: The potential in Norway by Fleten, Stein-Erik & Ringen, Geir [Downloadable!] 2009 Hybrid or Electric Vehicles? A Real Options Perspective by Michi NISHIHARA [Downloadable!] 2009 Did the ETF enhance arbitrage between cash and futures of the Nikkei225? by Youki Kohsaka [Downloadable!] 2009 Preemptive Investment Game with Alternative Projects by Michi Nishihara [Downloadable!] 2009 Are Banks Different? Evidence from the CDS Market by Burkhard Raunig & Martin Scheicher [Downloadable!] 2009 Macro-Hedging for Commodity Exporters by Eduardo Borensztein & Olivier Jeanne & Damiano Sandri [Downloadable!] 2009 Credit Default Swaps and the Credit Crisis by René M. Stulz [Downloadable!] 2009 Systemic Risk and the Refinancing Ratchet Effect by Amir E. Khandani & Andrew W. Lo & Robert C. Merton [Downloadable!] 2009 Asset Return Dynamics under Bad Environment Good Environment Fundamentals by Geert Bekaert & Eric Engstrom [Downloadable!] 2009 U.S. Stock Market Crash Risk, 1926-2006 by David S. Bates [Downloadable!] 2009 Valuing Toxic Assets: An Analysis of CDO Equity by Francis A. Longstaff & Brett Myers [Downloadable!] 2009 The Term Structures of Equity and Interest Rates by Martin Lettau & Jessica A. Wachter [Downloadable!] 2009 Information, Liquidity, and the (Ongoing) Panic of 2007 by Gary B. Gorton [Downloadable!] 2009 Credit Risk Transfer and Bank Competition by Hendrik Hakenes & Isabel Schnabel [Downloadable!] 2009 The skew pattern of implied volatility in the DAX index options market by Silvia Muzzioli [Downloadable!] 2009 Bayesian Option Pricing Using Mixed Normal Heteroskedasticity by Jeroen V.K. Rombouts & Lars Stentoft [Downloadable!] 2009 Basket Options on Heterogeneous Underlying Assets by Georges Dionne & Geneviève Gauthier & Nadia Ouertani [Downloadable!] 2009 Credit Spread Changes within Switching Regimes by Olfa Maalaoui & Georges Dionne & Pascal François [Downloadable!] 2009 Liquidität, Risikoeinstellung des Kapitalmarktes und Konjunkturerwartung als Preisdeterminanten von Collateralized Debt Obligations (CDOs) - Eine simulationsgestützte Analyse by Gann, Philipp [Downloadable!] 2009 Heterogeneous Impatience in a Continuous-Time Model by Chiaki Hara [Downloadable!] 2009 Representations for optimal stopping under dynamic monetary utility functionals by Volker Krätschmer & John Schoenmakers [Downloadable!] 2009 CDO and HAC by Barbara Choroś & Wolfgang Härdle & Ostap Okhrin [Downloadable!] 2009 CDO Pricing with Copulae by Barbara Choros & Wolfgang Härdle & Ostap Okhrin [Downloadable!] 2009 A Microeconomic Explanation of the EPK Paradox by Wolfgang Härdle & Volker Krätschmer & Rouslan Moro [Downloadable!] 2009 Credit Spreads on Corporate Bonds and the Macroeconomy in Japan by Kiyotaka Nakashima & Makoto Saito [Downloadable!] 2009 Option Pricing Using Realized Volatility and ARCH Type Models by Toshiaki Watanabe & Masato Ubukata [Downloadable!] 2009 A Liquidity Risk Stress-Testing Framework with Interaction between Market and Credit Risks by Eric Wong & Cho-Hoi Hui [Downloadable!] 2009 Heterogeneous Impatience in a Continuous-Time Model by Hara, Chiaki [Downloadable!] 2009 A Model of Deferred Callability in Defaultable Debt by Mjøs, Aksel & Persson, Svein-Arne [Downloadable!] 2009 Pricing basket default swaps in a tractable shot-noise model by Herbertsson, Alexander & Jang, Jiwook & Schmidt, Thorsten [Downloadable!] 2009 Systemic Risk and the Refinancing Ratchet Effect by Amir E. Khandani & Andrew W. Lo & Robert C. Merton [Downloadable!] 2009 What is the Impact of Stock Market Contagion on an Investor's Portfolio Choice? by Nicole Branger & Holger Kraft & Christoph Meinerding [Downloadable!] 2009 Option Pricing: The empirical tests of the Black-Scholes pricing formula and the feed-forward networks by Michaela Vlasáková Baruníková [Downloadable!] 2009 Did Speculation Affect World Rice Prices? by C. Peter Timmer [Downloadable!] 2009 Term Structure Equations Under Benchmark Framework by El Qalli Yassine [Downloadable!] 2009 Expected Returns and Volatility of Fama-French Factors by Chabi-Yo, Fousseni [Downloadable!] 2009 Hedging residual value risk using derivatives by Sylvain Prado [Downloadable!] 2009 Compatibility between pricing rules and risk measures: The CCVaR by Alejandro Balbás & Raquel Balbás [Downloadable!] 2009 Limits to Arbitrage and Hedging: Evidence from Commodity Markets by Acharya, Viral V. & Lochstoer, Lars & Ramadorai, Tarun [Downloadable!] 2009 Bankruptcy Codes, Liquidation Timing, And Debt Valuation by Max Bruche [Downloadable!] 2009 Bayesian Option Pricing Using Mixed Normal Heteroskedasticity Models by Jeroen Rombouts & Lars Peter Stentoft [Downloadable!] 2009 Dynamic Investment and Financing under Asymmetric Information by Erwan MORELLEC & Norman SCHURHOFF [Downloadable!] 2009 A Strategic R&D Investment with Flexible Development Time in Real Option Game Analysis by Giovanni Villani [Downloadable!] 2009 Admissible strategies in semimartingale portfolio selection by Sara Biagini & Ales Cerny [Downloadable!] 2009 Macroeconomic Uncertainty and Credit Default Swap Spreads by Christopher F Baum & Chi Wan [Downloadable!] 2009 An Alternative Formula to Price American Options by Rocío Elizondo & Pablo Padilla & Mogens Bladt [Downloadable!] 2009 Structural The Equity Premium and the Volatility Spread: The Role of Risk-Neutral Skewness by Bruno Feunou & Jean-Sébastien Fontaine & Roméo Tedongap [Downloadable!] 2009 Measures of Aggregate Credit Conditions and Their Potential Use by Central Banks by Alejandro García & Andrei Prokopiw [Downloadable!] 2009 A No Arbitrage Fractional Cointegration Analysis Of The Range Based Volatility by Eduardo Rossi & Paolo Santucci de Magistris [Downloadable!] 2009 Adding and Subtracting Black-Scholes: A New Approach to Approximating Derivative Prices in Continuous Time Models by Dennis Kristensen & Antonio Mele [Downloadable!] 2009 Bayesian Option Pricing Using Mixed Normal Heteroskedasticity Models by Jeroen V.K. Rombouts & Lars Stentoft [Downloadable!] 2009 Volatility in Equilibrium: Asymmetries and Dynamic Dependencies by Tim Bollerslev & Natalia Sizova & George Tauchen [Downloadable!] 2009 Model Uncertainty and Liquidity by Bryan Routledge & Stanley Zin [Downloadable!] 2009 Modelización de las expectativas y estrategias de inversión en mercados de opciones by Begoña Font Belaire [Downloadable!] 2009 Computational Efficiency and Accuracy in the Valuation of Basket Options by Pengguo Wang [Downloadable!] 2009 Implied Market Loss Given Default in the Czech Republic: Structural-Model Approach by Jakub Seidler & Petr Jakubík [Downloadable!] 2009 Modeling Jump and Continuous Components in the Volatility of Oil Futures by Tseng-Chan Tseng & Huimin Chung & Chin-Sheng Huang [Downloadable!] 2009 Risk-Adjusted Forecasts of Oil Prices by Patrizio Pagano & Massimiliano Pisani [Downloadable!] 2008 A value at risk analysis of credit default swaps by Scheicher, Martin & Raunig, Burkhard [Downloadable!] 2008 The pricing of correlated default risk: evidence from the credit derivatives market by Zhu, Haibin & Tarashev, Nikola A. [Downloadable!] 2008 Market conditions, default risk and credit spreads by Tang, Dragon Yongjun & Yan, Hong [Downloadable!] 2008 An efficient binomial approach to the pricing of options on stocks with cash dividends by Martina Nardon & Paolo Pianca [Downloadable!] 2008 Real World Pricing for a Modified Constant Elasticity of Variance Model by Shane M Miller & Eckhard Platen [Downloadable!] 2008 Exchange Options Under Jump-Diffusion Dynamics by Gerald H. L. Cheang & Carl Chiarella [Downloadable!] 2008 Modelling the Evolution of Credit Spreads using the Cox Process within the HUM Framework: A CDS Option Pricing Model by Carl Chiarella & Viviana Fanelli & Silvana Musti [Downloadable!] 2008 On Honest Times in Financial Modeling by Ashkan Nikeghbali & Eckhard Platen [Downloadable!] 2008 Distributional Deviations in Random Number Generation in Finance by Sergio Chavez & Eckhard Platen [Downloadable!] 2008 A Unifying Approach to Asset Pricing by Eckhard Platen [Downloadable!] 2008 Hedge Portfolios in Markets with Price Discontinuities by Gerald H.L. Cheang & Carl Chiarella [Downloadable!] 2008 Analytic Pricing of Contingent Claims Under the Real-World Measure by Shane Miller & Eckhard Platen [Downloadable!] 2008 The Law of Minimum Price by Eckhard Platen [Downloadable!] 2008 Hedging for the Long Run by Eckhard Platen & Hardy Hulley [Downloadable!] 2008 A Hull and White formula for a general stochastic volatility jump-diffusion model with applications to the study of the short-time behavior of the implied volatility by Elisa Alòs & Jorge A. León & Monique Pontier & Josep Vives [Downloadable!] 2008 R&D Cooperation in Real Option Game Analysis by Giovanni Villani [Downloadable!] 2008 Predicting the Fed by Kenneth B. Petersen & Vladimir Pozdnyakov [Downloadable!] 2008 Volatility Exposure for Strategic Asset Allocation by Marie Brière & Alexandre Burgues & Ombretta Signori [Downloadable!] 2008 Dynamic risk indifference pricing in incomplete markets by Xavier De Scheemaekere [Downloadable!] 2008 Jump and Cojump Risk in Subprime Home Equity Derivatives by Bruce Mizrach 2008 Asset Prices, Debt Constraints And Inefficiency by Gaetano Bloise & Pietro Reichlin [Downloadable!] 2008 A model for pricing real estate derivatives with stochastic interest rates by Ciurlia, Pierangelo & Gheno, Andrea [Downloadable!] 2008 The Economics of Financial Derivative Instruments by NWAOBI, GODWIN C [Downloadable!] 2008 A Novel Pricing Method For European Options Based On Fourier-Cosine Series Expansions by Fang, Fang & Oosterlee, Kees [Downloadable!] 2008 Pricing Early-Exercise and Discrete Barrier Options by Fourier-Cosine Series Expansions by Fang, Fang & Oosterlee, Kees [Downloadable!] 2008 Investment Model Uncertainty and Fair Pricing by Los, Cornelis A. & Tungsong, Satjaporn [Downloadable!] 2008 Dynamic Conditioning and Credit Correlation Baskets by Albanese, Claudio & Vidler, Alicia [Downloadable!] 2008 Multi-asset Spread Option Pricing and Hedging by Li, Minqiang & Deng, Shijie & Zhou, Jieyun [Downloadable!] 2008 A Novel Pricing Method For European Options Based On Fourier-Cosine Series Expansions by Fang, Fang & Oosterlee, Kees [Downloadable!] 2008 Numeraire Invariance and application to Option Pricing and Hedging by Jamshidian, Farshid [Downloadable!] 2008 Risky Swaps by Gikhman, Ilya [Downloadable!] 2008 Risky Swaps by Gikhman, Ilya [Downloadable!] 2008 Closed-Form Approximations for Spread Option Prices and Greeks by Li, Minqiang [Downloadable!] 2008 Risky Swaps by Gikhman, Ilya [Downloadable!] 2008 An Adaptive Succesive Over-relaxation Method for Computing the Black-Scholes Implied Volatility by Li, Minqiang [Downloadable!] 2008 Natural volatility and option pricing by Carey, Alexander [Downloadable!] 2008 Liquidity-Induced Dynamics in Futures Markets by Fagan, Stephen & Gencay, Ramazan [Downloadable!] 2008 Pricing of Double Barrier Options by Spectral Theory by Dell'Era Mario, M.D. [Downloadable!] 2008 Pricing of the European Options by Spectral Theory by Dell'Era Mario, M.D. [Downloadable!] 2008 Asset Liability Management for Banks by Giandomenico, Rossano [Downloadable!] 2008 Levy Density Based Intensity Modeling of the Correlation Smile by Balakrishna, B S [Downloadable!] 2008 'Noise trader risk' and Bayesian market making in FX derivatives: rolling loaded dice? by Ulibarri, Carlos A. & Anselmo, Peter & Hovsepian, Karen & Florescu, Ionut & Tolk, Jacob [Downloadable!] 2008 Real Option Games with R&D and Learning Spillovers by Martzoukos, Spiros H & Zacharias, Eleftherios [Downloadable!] 2008 Are Options on Index Futures Profitable for Risk Averse Investors? Empirical Evidence by Constantinides, George M. & Jackwerth, Jens Carsten & Czerwonko, Michal & Perrakis, Stylianos [Downloadable!] 2008 Price Deviations of S&P 500 Index Options from the Black-Scholes Formula Follow a Simple Pattern by Li, Minqiang [Downloadable!] 2008 A Damped Diffusion Framework for Financial Modeling and Closed-form Maximum Likelihood Estimation by Li, Minqiang [Downloadable!] 2008 Cash Flow-Wise ABCDS pricing by Penasse, Julien [Downloadable!] 2008 A semiparametric factor model for electricity forward curve dynamics by Borak, Szymon & Weron, Rafal [Downloadable!] 2008 Hedging error in Lévy models with a Fast Fourier Transform approach by Flavio Angelini & Marco Nicolosi [Downloadable!] 2008 Forecasting temperature indices with timevarying long-memory models by Massimiliano Caporin & Juliusz Pres [Downloadable!] 2008 Are Workers Enterprises Entry Policies Conventional? by Michele Moretto & Gianpaolo Rossini [Downloadable!] 2008 Mispricing of S&P 500 Index Options by George M. Constantinides & Jens Carsten Jackwerth & Stylianos Perrakis [Downloadable!] 2008 The True Cost of Social Security by Alexander W. Blocker & Laurence J. Kotlikoff & Stephen A. Ross [Downloadable!] 2008 Fooling Some of the People All of the Time: The Inefficient Performance and Persistence of Commodity Trading Advisors by Geetesh Bhardwaj & Gary B. Gorton & K. Geert Rouwenhorst [Downloadable!] 2008 Derivatives Markets for Home Prices by Robert J. Shiller [Downloadable!] 2008 Consumption and Portfolio Choice with Option-Implied State Prices by Yacine Aït-Sahalia & Michael W. Brandt [Downloadable!] 2008 Arbitrage-free Limit Order Books and the Pricing of Order Flow Risk by Bruce Lehmann [Downloadable!] 2008 Option pricing under GARCH models with generalized hyperbolic innovations (II) : data and results by Christophe Chorro & Dominique Guegan & Florian Ielpo [Downloadable!] 2008 Option pricing under GARCH models with generalized hyperbolic innovations (I) : methodology by Christophe Chorro & Dominique Guegan & Florian Ielpo [Downloadable!] 2008 Pricing bivariate option under GARCH processes with time-varying copula by Jing Zhang & Dominique Guegan [Downloadable!] 2008 Option based forecasts of volatility: An empirical study in the DAX index options market by Silvia Muzzioli [Downloadable!] 2008 Density forecast evaluation and the effect of risk-neutral central moments on the currency risk premium: tests based on EUR/HUF option-implied densities by Csaba Csávás [Downloadable!] 2008 Are the exchange rates of EMU candidate countries anchored by their expected euro locking rates? by Anna Naszódi [Downloadable!] 2008 Effects of Background Risks on Cautiousness with an Application to a Portfolio Choice Problem by Chiaki Hara & James Huang & Christoph Kuzmics [Downloadable!] 2008 Short-term electricity futures prices: Evidence on the time-varying risk premium by Hipòlit Torró & Julio Lucia [Downloadable!] 2008 Forward Trading in Exhaustible-Resource Oligopoly by Juan Pablo Montero & Matti Liski [Downloadable!] 2008 A semiparametric factor model for electricity forward curve dynamics by Szymon Borak & Rafał Weron [Downloadable!] 2008 Numerics of Implied Binomial Trees by Wolfgang Härdle & Alena Mysickova [Downloadable!] 2008 Assessing Credit Risk of Companies with Mean-Reverting Leverage Ratios by C. F. Lo & T. C. Wong & C. H. Hui & M. X. Huang [Downloadable!] 2008 A Note on Estimating Realignment Probabilities -- A First-Passage-Time Approach by Cho-Hoi Hui & Chi-Fai Lo [Downloadable!] 2008 Market Expectation of Appreciation of the Renminbi by Cho-Hoi Hui & Chi-Fai Lo & Tsz-Kin Chung [Downloadable!] 2008 Heterogeneous Impatience in a Continuous-Time Model by Hara, Chiaki [Downloadable!] 2008 Effects of Background Risks on Cautiousness with an Application to a Portfolio Choice Problem by Hara, Chiaki & Huang, James & Kuzmics, Christoph [Downloadable!] 2008 Continuous Monitoring: Look before You Leap by Lindset, Snorre & Persson, Svein-Arne [Downloadable!] 2008 Level dependent annuities: Defaults of multiple degrees by Mjøs, Aksel & Persson, Svein-Arne [Downloadable!] 2008 Game-theoretical, Strategic forward Contracting in the Electricity Market by Holmberg, Pär [Downloadable!] 2008 The partial adjustment factors of FTSE 100 stock index and stock index futures: The informational impact of electronic trading systems by Helder Sebastião [Downloadable!] 2008 Valuing American Derivatives by Least Squares Methods by Mario Cerrato [Downloadable!] 2008 Can Tests Based on Option Hedging Errors Correctly Identify Volatility Risk Premia? by Nicole Branger & Christian Schlag [Downloadable!] 2008 A Long-Run Risks Model of Asset Pricing with Fat Tails by Zhiguang Wang & Prasad V. Bidarkota [Downloadable!] 2008 Incomplete Information in a Long Run Risks Model of Asset Pricing by Prasad V. Bidarkota [Downloadable!] 2008 Implied Market Loss Given Default: structural-model approach by Jakub Seidler [Downloadable!] 2008 Valuation of Convexity Related Derivatives by Jiří Witzany [Downloadable!] 2008 Derivatives Markets for Home Prices by Shiller, Robert J. [Downloadable!] 2008 Measuring idiosyncratic risks in leveraged buyout transactions by Gottschalg, Oliver & Groh, Alexander Peter & Baule, Rainer [Downloadable!] 2008 Multivariate Feller conditions in term structure models: Why do(n't) we care? by Peter Spreij & Enno Veerman & Peter Vlaar [Downloadable!] 2008 Theory of Storage: An Empirical Assessment of the European Natural Gas Market by Marcus Stronzik & Margarethe Rammerstorfer & Anne Neumann [Downloadable!] 2008 Derivatives Markets for Home Prices by Robert J. Shiller [Downloadable!] 2008 The Virtues and Vices of Equilibrium and the Future of Financial Economics by J. Doyne Farmer & John Geanakoplos [Downloadable!] 2008 Capital requirements: Are they the best solution? by Alejandro Balbas [Downloadable!] 2008 Nonparametric Estimation of Scalar Diffusion Processes of Interest Rates Using Asymmetric Kernels by Nikolay Gospodinov & Masayuki Hirukawa [Downloadable!] 2008 Asset Prices, Debt Constraints and Inefficiency by Bloise, Gaetano & Reichlin, Pietro [Downloadable!] 2008 On the Impact of Forward Contract Obligations in Multi-Unit Auctions by de Frutos, Maria-Angeles & Fabra, Natalia [Downloadable!] 2008 The Endogenous Price Dynamics of the Emission Allowances: An Application to CO2 Option Pricing by Marc Chesney & Luca Taschini [Downloadable!] 2008 Barrier Options and a Reflection Principle of the Fractional Brownian Motion by Cipian Necula [Downloadable!] 2008 Pricing European and Barrier Options in the Fractional Black-Scholes Market by Ciprian Necula [Downloadable!] 2008 Option Pricing in a Fractional Brownian Motion Environment by Cipian Necula [Downloadable!] 2008 A Framework for Derivative Pricing in the Fractional Black-Scholes Market by Ciprian Necula [Downloadable!] 2008 On the foundations of Lévy finance: Equilibrium for a single-agent financial market with jumps by Frederik Herzberg [Downloadable!] 2008 La prévision des taux d’intérêt à partir de contrats futures : l’apport de variables économiques et financières by Coffinet, J. [Downloadable!] 2008 Futures Markets, Oil Prices and the Intertemporal Approach to the Current Account by Elif C. Arbatli [Downloadable!] 2008 Default Dependence: The Equity Default Relationship by Stuart M. Turnbull & Jun Yang [Downloadable!] 2008 Expected Stock Returns and Variance Risk Premia by Tim Bollerslev & Tzuo Hao & George Tauchen [Downloadable!] 2008 American Option Pricing using GARCH models and the Normal Inverse Gaussian distribution by Lars Stentoft [Downloadable!] 2008 Option Pricing using Realized Volatility by Lars Stentoft [Downloadable!] 2008 Volatility Components, Affine Restrictions and Non-Normal Innovations by Peter Christoffersen & Kris Dorion & Yintian Wang [Downloadable!] 2008 Entry Strategies of Partnerships versus Conventional Firms by Michele Moretto & Gianpaolo Rossini 2008 Examination Of Selected Improvement Approaches To Monte Carlo Simulation In Option Pricing by Tomáš Tichý [Downloadable!] 2008 Investigating A Thin-Capitalization Rule: An Option-Based Analysis by Jan Vlachý [Downloadable!] 2008 Dilution and Dividend Effects on the Portuguese Equity Warrants Market by José Eduardo Correia & João Duque 2008 Algunas aplicaciones de la Teoría de Lie a la Economía y las Finanzas = Some Applications of Lie Theory to Economics and Finance by Hernández Fernández, Isabel & Mateos Contreras, Consuelo & Núñez Valdés, Juan & Tenorio Villalón, Ángel F. [Downloadable!] 2008 Specification and Calibration Errors in Measures of Portfolio Credit Risk: The Case of the ASRF Model by Nikola Tarashev & Haibin Zhu [Downloadable!] 2008 Türkiye’de Döviz ve Endeks Futures Sözleşmelerinin Stokastik Modellenmesi by Alper ÖZÜN & Mehmet TÜRK 2008 First Passage and Excursion Time Models for Valuing Defautltable Bonds: a Review with Some Insights by Martina Nardon [Downloadable!] 2008 Measuring the Financial Markets’ Perception of EMU Enlargement: The Role of Ambiguity Aversion by Martin Cincibuch & Matrina Horníková [Downloadable!] 2008 Sobre la convergencia del modelo GARCH(1,1)-M al movimiento geométrico browniano con reversión a la media by Francisco Venegas-Martínez & Francisco J. Sánchez-Torres [Downloadable!] 2008 El modelo de Vasicek y la integral de trayectoria de Feynman by Francisco Ortiz-Arango & Francisco Venegas-Martínez [Downloadable!] 2008 Option Valuation with Normal Mixture GARCH Models by Alex Badescu & Reg Kulperger & Emese Lazar [Downloadable!] 2008 Dynamic Hedging with Foreign Currency Futures in the Presence of Jumps by Wing Hong Chan [Downloadable!] 2008 The ABX: how do the markets price subprime mortgage risk? by Ingo Fender & Martin Scheicher [Downloadable!] 2008 Credit derivatives an structured creit: the nascant markets of Asia and the Pacific by Eli M Remolona & Ilhyock Shim [Downloadable!] 2007 Extended-Gaussian Term Structure Models and Credit Risk Applications by Marco Realdon [Downloadable!] 2007 An Extended Structural Credit Risk Model (forthcoming in the Icfai Journal of Financial Risk Management; all copyrights rest with the Icfai University Press) by Marco Realdon [Downloadable!] 2007 A Two Factor Black-Karasinski Credit Default Swap Pricing Model (forthcoming in the Icfai Journal of Derivatives Markets, Vol IV, No 4, October 2007; all copyrights rest with the Icfai University Press) by Marco Realdon [Downloadable!] 2007 Option Pricing and Spikes in Volatility: Theoretical and Empirical Analysis by Paola Zerilli [Downloadable!] 2007 Pricing under the Real-World Probability Measure for Jump-Diffusion Term Structure Models by Nicola Bruti-Liberati & Christina Nikitopoulos-Sklibosios & Eckhard Platen [Downloadable!] 2007 Time Delay and Noise Explaining Cyclical Fluctuations in Prices of Commodities by Uwe Küchler & Eckhard Platen [Downloadable!] 2007 Empirical Evidence on Student-t Log-Returns of Diversified World Stock Indices by Eckhard Platen & Renata Rendek [Downloadable!] 2007 A Benchmark Approach to Portfolio Optimization under Partial Information by Eckhard Platen & Wolfgang Runggaldier [Downloadable!] 2007 Forecasting Implied Volatility Surfaces by Francesco Audrino & Dominik Colagelo [Downloadable!] 2007 Ambiguity Aversion and the Term Structure of Interest Rates by Patrick Gagliardini & Paolo Porchia & Fabio Trojani [Downloadable!] 2007 Interval LU-fuzzy arithmetic in the Black and Scholes option pricing by Maria Letizia Guerra & Laerte Sorini & Luciano Stefanini [Downloadable!] 2007 Modelling Credit Spreads evolution using the Cox Process within the HJM framework by Viviana Fanelli & Silvana Musti [Downloadable!] 2007 Pricing of CDS Options with the HJM approach: a Numerical Implementation by Viviana Fanelli & Silvana Musti [Downloadable!] 2007 Valuation of the surrender option in unit-linked life insurance policies in a non-rational behaviour framework by Luca Anzilli & Luigi De Cesare [Downloadable!] 2007 Strategic Technology Adoption and Market Dynamics as Option Games by Flavia Cortelezzi & Giovanni Villani [Downloadable!] 2007 A Monte Carlo approach to value exchange options using a single stochastic factor by Giovanni Villani [Downloadable!] 2007 Arbitrage and Simple Financial Market Efficiency during the South Sea Bubble: A Comparative Study of the Royal African and South Sea Companies Subscription Share Issues by Gary S. Shea [Downloadable!] 2007 A new Model for Stock Price Movements by Venier, Guido [Downloadable!] 2007 Decomposing and valuing callable convertible bonds: a new method based on exotic options by Zhou, Qi-Yuan & Wu, Chong-Feng & Feng, Yun [Downloadable!] 2007 The Impact of Return Nonnormality on Exchange Options by Li, Minqiang [Downloadable!] 2007 Empirical Study of the effect of including Skewness and Kurtosis in Black Scholes option pricing formula on S&P CNX Nifty index Options by Saurabha, Rritu & Tiwari, Manvendra [Downloadable!] 2007 An Hilbert space approach for a class of arbitrage free implied volatilities models by Brace, Alan & Fabbri, Giorgio & Goldys, Benjamin [Downloadable!] 2007 Joint Modeling of Call and Put Implied Volatility by Ahoniemi, Katja & Lanne, Markku [Downloadable!] 2007 Some mathematical properties of the futures market platform by Laib, Fodil & Laib, M.S. 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Andersen & Oleg Bondarenko [Downloadable!] 2007 Linearity-Generating Processes: A Modelling Tool Yielding Closed Forms for Asset Prices by Xavier Gabaix [Downloadable!] 2007 Real Options With Uncertain Maturity and Competition by Kristian R. Miltersen & Eduardo S. Schwartz [Downloadable!] 2007 The relation between implied and realised volatility: are call options more informative than put options? 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Andersen & Oleg Bondarenko [Downloadable!] 2007 Dynamic Estimation of Volatility Risk Premia and Investor Risk Aversion from Option-Implied and Realized Volatilities by Tim Bollerslev & Michael Gibson & Hao Zhou [Downloadable!] 2007 Matemática Financiera con MATLAB© = Mathematical Finance with MATLAB© by Merino, María & Vadillo, Fernando [Downloadable!] 2007 Desarrollo del mercado de derivados cambiarios en Chile by Luís Antonio Ahumada & Jorge Selaive C. [Downloadable!] 2007 Call an Put Implied Volatilities and the Derivation of Option Implied Trees by V. Moriggia, S. Muzzioli, C. Torricelli [Downloadable!] 2007 Mercados de notas estructuradas. Un análisis descriptivo y métodos de evaluación by Venegas-Martínez, Francisco 2007 Modelo de opciones reales y aplicación al mercado petrolero by Hernández del Valle, Adrián & Martínez García, Claudia Icela 2007 Measuring portfolio credit risk: modelling versus calibration errors by Nikola Tarashev & Haibin Zhu [Downloadable!] 2007 Economic derivatives by Blaise Gadanecz & Richhild Moessner & Christian Upper [Downloadable!] 2006 Forecasting the price of crude oil via convenience yield predictions by Knetsch, Thomas A. 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Singleton [Downloadable!] 2006 The Arbitrage Efficiency of the Nikkei 225 Options Market: A Put -Call Parity Analysis by Steven Li [Downloadable!] 2006 Measuring Investors' Risk Appetite by Prasanna Gai & Nicholas Vause [Downloadable!] 2006 Correlation and the Pension Protection Fund by Paul Sweeting 2006 Option Pricing with Long-Short Spreads by Pengguo wang [Downloadable!] 2006 Model Dependency of the Digital Option Replication – Replication under an Incomplete Model (in English) by Tomáš Tichý [Downloadable!] 2006 A Non-Parametric Test of the Conditional CAPM for the Mexican Economy by Jorge H. del Castillo-Spíndola [Downloadable!] 2006 Standard & Poor’S Depositary Receipts And The Market Quality Of S&P 500 Index Futures by Quentin C. Chu & Mustafa Mesut Kayali [Downloadable!] 2006 Analytical Approximation for the Price Dynamics of Spark Spread Options by Fred E. Benth & Jurate Saltyte-Benth [Downloadable!] 2006 Analysis and Modelling of Electricity Futures Prices by Svetlana Borovkova & Helyette Geman [Downloadable!] 2006 The Role of Observability in Futures Markets by José Luis Ferreira [Downloadable!] 2006 Risk premia across asset markets: information from option prices by Nikola Tarashev & Kostas Tsatsaronis [Downloadable!] 2005 Time series properties of a rating system based on financial ratios by Krüger, Ulrich & Stötzel, Martin & Trück, Stefan [Downloadable!] 2005 The Wishart Autoregressive Process of Multivariate Stochastic Volatility by Joan Jasiak & R. Sufana & C. Gourieroux [Downloadable!] 2005 The Magnitude of Menu Costs: Direct Evidence from Large U.S. Supermarket Chains by Daniel Levy & Mark Bergen & Shantanu Dutta & Robert Venable [Downloadable!] 2005 Price Adjustment at Multiproduct Retailers by Daniel Levy & Shantanu Dutta & Mark Bergen & Robert Venable [Downloadable!] 2005 Hedge ratio estimation and hedging effectiveness: the case of the S&P 500 stock index futures contract by Dimitris Kenourgios & Aristeidis Samitas & Panagiotis Drosos [Downloadable!] 2005 Testing Efficiency And The Unbiasedness Hypothesis Of The Emerging Greek Futures Market by Dimitris Kenourgios [Downloadable!] 2005 Price Discovery In The Athens Derivatives Exchange: Evidence For The Ftse/Ase-20 Futures Market by Dimitris Kenourgios [Downloadable!] 2005 Libor Market Model and Gaussian HJM explicit approaches to option on composition by Marc Henrard [Downloadable!] 2005 Valuing defaultable bonds: an excursion time approach by Martina Nardon [Downloadable!] 2005 Simple Formulas to Option Pricing and Hedging in the Black- Scholes Model by paolo pianca [Downloadable!] 2005 The Foresight Bias in Monte-Carlo Pricing of Options with Early by Christian Fries [Downloadable!] 2005 Implied Calibration of Stochastic Volatility Jump Diffusion Models by Stefano Galluccio & Yann Le Cam [Downloadable!] 2005 Convexity adjustment and delivery option in Australian dollar 90 Day Bills Futures by Marc Henrard [Downloadable!] 2005 Dynamic State Tameness by Jaime Londoño [Downloadable!] 2005 Persistence Characteristics of the Chinese Stock Markets by Cornelis A. Los & Bing Yu [Downloadable!] 2005 The Degree of Stability of Price Diffusion by Cornelis A. Los [Downloadable!] 2005 Simulation-Based Pricing of Convertible Bonds by Manuel Ammann & Axel Kind & Christian Wilde [Downloadable!] 2005 Bermudan swaptions in Hull-White one-factor model: analytical and numerical approaches by Marc Henrard [Downloadable!] 2005 An empirical analysis of structural models of corporate debt pricing by Joao C. A. Teixeira [Downloadable!] 2005 From Default Probabilities To Credit Spreads: Credit Risk Models Do Explain Market Prices by Stefan Denzler & Michel M. Dacorogna & Ulrich A. Mueller & Alexander McNeil [Downloadable!] 2005 Proxy simulation schemes using likelihood ratio weighted Monte Carlo for generic robust Monte-Carlo sensitivities and high accuracy drift approximation (with applications to the LIBOR Market Model) by Christian P. Fries & Joerg Kampen [Downloadable!] 2005 Eurodollar futures and options: convexity adjustment in HJM one- factor model by Henrard Marc [Downloadable!] 2005 Generic Market Models by Raoul Pietersz & Marcel van Regenmortel [Downloadable!] 2005 A Comparison of Single Factor Markov-functional and Multi Factor Market Models by Raoul Pietersz & Antoon Pelsser [Downloadable!] 2005 Efficient Rank Reduction of Correlation Matrices by Igor Grubisic & Raoul Pietersz [Downloadable!] 2005 Rank Reduction of Correlation Matrices by Majorization by Raoul Pietersz & Patrick J. F. Groenen [Downloadable!] 2005 Fast drift approximated pricing in the BGM model by Raoul Pietersz & Antoon Pelsser & Marcel van Regenmortel [Downloadable!] 2005 Risk Managing Bermudan Swaptions in the Libor BGM Model by Raoul Pietersz & Antoon Pelsser [Downloadable!] 2005 Market price of risk implied by Asian-style electricity options by Rafal Weron [Downloadable!] 2005 A Control Variate Method for Monte Carlo Simulations of Heath-Jarrow-Morton with Jumps by Carl Chiarella & Christina Nikitopoulos-Sklibosios & Erik Schlogl [Downloadable!] 2005 On the Strong Approximation of Pure Jump Processes by Nicola Bruti-Liberati & Eckhard Platen [Downloadable!] 2005 Investments for the Short and Long Run by Eckhard Platen [Downloadable!] 2005 On the Strong Approximation of Jump-Diffusion Processes by Nicola Bruti-Liberati & Eckhard Platen [Downloadable!] 2005 A Hardware Generator of Multi-point Distributed Random Numbers for Monte Carlo Simulation by Nicola Bruti-Liberati & Filippo Martini & Massimo Piccardi & Eckhard Platen [Downloadable!] 2005 Benchmarking and Fair Pricing Applied to Two Market Models by Hardy Hulley & Shane Miller & Eckhard Platen [Downloadable!] 2005 Currency Derivatives under a Minimal Market Model with Random Scaling by David Heath & Eckhard Platen [Downloadable!] 2005 On the Distributional Characterization of Log-returns of a World Stock Index by Kevin Fergusson & Eckhard Platen [Downloadable!] 2005 On the Role of the Growth Optimal Portfolio in Finance by Eckhard Platen [Downloadable!] 2005 Estimation of the Stylized Facts of a Stochastic Cascade Model by Céline Azizieh & Wolfgang Breymann [Downloadable!] 2005 Scope for Credit Risk Diversification by Samuel Hanson & M. Hashem Pesaran & Til Schuermann [Downloadable!] 2005 U.S. Real Exchange Rate Fluctuations and Relative Price Fluctuations by Caroline M. Betts & Timothy J. Kehoe [Downloadable!] 2005 The Valuation of Multiple Asset American Options under Jump Diffusion Processes by A. Ziogas & G. Cheang & C. Chiarella 2005 The Valuation Of American Exchange Options Under by GERALD H. L. CHEANG & CARL CHIARELLA & ANDREW ZIOGAS 2005 Option Pricing and the Implied Tail Index with the Generalized Extreme Value (GEV) Distribution by Sheri Markose & Amadeo Alentorn [Downloadable!] 2005 Extracting expectations from currency option prices: a comparison of methods by Marian Micu [Downloadable!] 2005 Neural Networks for Extracting the Asset Price Dynamics Implicit in Market Prices of Stock Index Options by Ing-Chyuan Wu 2005 Alternative Characterizations of the European Continuous-Installment Option Valuation Problem by Ilir Roko & Pierangelo Ciurlia 2005 Option-Pricing in Incomplete Markets: The Hedging Portfolio plus a Risk Premium-Based Recursive Approach by Alfredo Ibáñez [Downloadable!] 2005 Using Copulas to Construct Bivariate Foreign Exchange Distributions with an Application to the Sterling Exchange Rate Index by Christoph Schleicher & Matthew Hurd & Mark Salmon 2005 Pricing American-style Derivatives under the Heston Model Dynamics: A Fast Fourier Transformation in the Geske–Johnson Scheme by Oleksandr Zhylyevskyy [Downloadable!] 2005 Understanding financial derivatives during the South Sea Bubble: the case of the South Sea subscription shares by Gary S. Shea [Downloadable!] 2005 Financial Market Analysis Can Go Mad (in the search for irrational behaviour during the South Sea Bubble) by Gary S. Shea [Downloadable!] 2005 O Mercado interbancário de câmbio no Brasil,Creation-Date: 2005-07 by Marcio Gomes Pinto Garcia & Fábio Urban [Downloadable!] 2005 Asymmetries and Volatility Regimes in the European Equity Markets by Carol Alexandra & Emese Lazar [Downloadable!] 2005 On The Continuous Limit of GARCH by Carol Alexandra & Emese Lazar [Downloadable!] 2005 Advance Contracts for the Sale of Wool in Medieval England; An Undeveloped and Inefficient Market? by Adrian Bell & Chris Brooks & Paul Dryburgh [Downloadable!] 2005 The Continuous Limit of GARCH Processess by Carol Alexandra & Emese Lazar [Downloadable!] 2005 Higher-order volatility by Carey, Alexander [Downloadable!] 2005 Optimal investment strategies in decentralized renewable power generation under uncertainty by Fleten, Stein-Erik & Maribu, Karl Magnus & Wangensteen, Ivar [Downloadable!] 2005 Options valuation by ilya, gikhman [Downloadable!] 2005 L'assurance de portefeuille: Simulations en Visual Basic de portefeuilles visant à reproduire les flux monétaires de stratégies d'options by Francois-Éric Racicot & Raymond Théoret [Downloadable!] 2005 De l'évaluation du risque de crédit by Francois-Éric Racicot & Raymond Théoret [Downloadable!] 2005 Modelling Dynamic Storage Function in Commodity Markets:Theory and Evidence by Luca Pieroni & Matteo Ricciarelli [Downloadable!] 2005 Wavelet based Multi-grid analysis, Wavelet Galerkin method and their Applications to American option: A Survey by Ken-ichi Mitsui & Yoshio Tabata 2005 Pricing a Bermudan Swaption with a Short Rate Lattice Method by Yasuhiro Tamba [Downloadable!] 2005 La flexibilidad como creadora de valor. El caso de una explotación forestal en Portugal by Alonso Bonis, Susana & Vallelado González, Eleuterio & Henriques Xavier, José Manuel [Downloadable!] 2005 Equilibrium Commodity Prices with Irreversible Investment and Non-Linear Technology by Jaime Casassus & Pierre Collin-Dufresne & Bryan R. Routledge [Downloadable!] 2005 Demand-Based Option Pricing by Nicolae Garleanu & Lasse Heje Pedersen & Allen M. Poteshman [Downloadable!] 2005 Notes for a Contingent Claims Theory of Limit Order Markets by Bruce N. Lehmann [Downloadable!] 2005 Futures Prices in a Production Economy with Investment Constraints by Leonid Kogan & Dmitry Livdan & Amir Yaron [Downloadable!] 2005 The Tactical and Strategic Value of Commodity Futures by Claude B. Erb & Campbell R. Harvey [Downloadable!] 2005 A Theory of Takeovers and Disinvestment by Bart Lambrecht & Stewart C. Myers [Downloadable!] 2005 The Predictive Content of Energy Futures: An Update on Petroleum, Natural Gas, Heating Oil and Gasoline by Menzie D. Chinn & Michael LeBlanc & Olivier Coibion [Downloadable!] 2005 Realized Volatility and Correlation in Grain Futures Markets: Testing for Spill-Over Effects by Jae H. Kim & Hristos Doucouliagos [Downloadable!] 2005 The no arbitrage condition in option implied trees: evidence from the Italian index options market by V. Moriggia & S. Muzzioli & C. Torricelli [Downloadable!] 2005 Implied volatility of foreign exchange options: is it worth tracking? by Áron Gereben & Klára Pintér [Downloadable!] 2005 Default Risk in Corporate Yield Spreads by Georges Dionne & Geneviève Gauthier & Khemais Hammami & Mathieu Maurice & Jean-Guy Simonato [Downloadable!] 2005 Heterogeneous Risk Attitudes in a Continuous-Time Model by Chiaki Hara [Downloadable!] 2005 Mispricing of S&P 500 Index Options by Jens Carsten Jackwerth & George M. Constantinaides & Stylianos Perrakis [Downloadable!] 2005 Option Pricing: Real and Risk-Neutral Distributions by Jens Carsten Jackwerth & George M. Constantinaides & Stylianos Perrakis [Downloadable!] 2005 A Diffusion Approximation to the Markov Chains Model of the Financial Market and the Expected Riskless Profit Under Selling of Call and Put Options by Nagaev, Alexander V. & Nagaev, Sergei A. & Kunst, Robert M. [Downloadable!] 2005 A Diffusion Approximation for the Riskless Profit Under Selling of Discrete Time Call Options. Non-identically Distributed Jumps by Nagaev, Alexander V. & Nagaev, Sergei A. & Kunst, Robert M. [Downloadable!] 2005 Demanda de Derivativos de Câmbio no Brasil: Hedge ou Especulação by Walter Novaes & Fernando N. de Oliveira [Downloadable!] 2005 Duality and Derivative Pricing with Time-Changed Lévy Processes by José Fajardo & Ernesto Mordecki [Downloadable!] 2005 Equivalent Martingale Measures and Lévy Processes by José Fajardo [Downloadable!] 2005 Duality and Derivative Pricing with Lévy Processes by José Fajardo & Ernesto Mordecki [Downloadable!] 2005 Explicit characterization of the super-replication strategy in financial markets with partial transaction costs by Imen Bentahar & Bruno Bouchard [Downloadable!] 2005 US Monetary Policy Announcements and the Term Structure of Interest Rate Differentials: Evidence from Hong Kong and Singapore by Giorgio Valente [Downloadable!] 2005 Callable Risky Perpetual Debt: Options, Pricing And Bankruptcy Implications by Mjøs, Aksel & Persson, Svein-Arne [Downloadable!] 2005 On finite dimensional realizations for the term structure of futures prices by Björk, Tomas & Blix, Magnus & Landen, Camilla [Downloadable!] 2005 On the Timing Option in a Futures Contract by Björk, Tomas & Biagini, Francesca [Downloadable!] 2005 Quadratic Portfolio Credit Risk models with Shot-noise Effects by Gaspar, Raquel M. & Schmidt, Thorsten [Downloadable!] 2005 Correlation Between Intensity and Recovery in Credit Risk Models by Gaspar, Raquel M. & Slinko, Irina [Downloadable!] 2005 Asset Pricing with Incomplete Information under Stable Shocks by Prasad V. Bidarkota & Brice V. Dupoyet & J. Huston McCulloch [Downloadable!] 2005 Start-up Entry Strategies: Employer vs. Nonemployer firms by Michele Moretto & Gianpaolo Rossini [Downloadable!] 2005 Do Major Financial Crises Provide Information on Sovereign Risk to the Rest of the World? A Look at Credit Default Swap Markets by Didier Cossin & Gero Jung [Downloadable!] 2005 Are European Corporate Bond and Default Swap Markets Segmented? by Didier Cossin & Hongze Lu [Downloadable!] 2005 Theory and Calibration of Swap Market Models by S.Galluccio & Z. Huang & J.-M. Ly & O. Scaillet [Downloadable!] 2005 Cross-dynamics of volatility term structures implied by foreign exchange options by Elizaveta Krylova & Jussi Nikkinen & Sami Vähämaa [Downloadable!] 2005 Measuring Financial Stability: Applying the MfRisk Model to the Netherlands by Jan Willem van den End & Mostafa Tabbae [Downloadable!] 2005 The Impact of Serial Correlation on Option Prices in a Non- Frictionless Environment: An Alternative Explanation for Volatility Skew by John S. Ying & Joel S. Sternberg [Downloadable!] 2005 The value of fighting irreversible demise by softening the irreversible cost by Magis, Paul & Sbuelz, Alessandro [Downloadable!] 2005 The impact of overnight periods on option pricing by Boes, Mark-Jan & Drost, Feike C. & Werker, Bas J.M. [Downloadable!] 2005 Temporary Stabilization and the Real Option of Waiting when Consumption can be Delayed: an Extreme Value Approach by Francisco Venegas-Martínez [Downloadable!] 2005 A Two-Stage Realized Volatility Approach to the Estimation for Diffusion Processes from Discrete Observations by Peter C.B. Phillips & Jun Yu [Downloadable!] 2005 Modelling the Surrender Conditions in Equity-Linked Life Insurance by Anna Rita Bacinello [Downloadable!] 2005 Parametric Properties of Semi-Nonparametric Distributions, With Applications to Option Valuation by León, Ángel & Mencía, Javier & Sentana, Enrique [Downloadable!] 2005 Demand-Based Option Pricing by Garleanu, Nicolae Bogdan & Pedersen, Lasse Heje & Poteshman, Allen M [Downloadable!] 2005 Insider Trading in Credit Derivatives by Acharya, Viral V & Johnson, Tim [Downloadable!] 2005 A Model of Corporate Liquidity by Anderson, Ronald W & Carverhill, Andrew [Downloadable!] 2005 Parametric Properties Of Semi-Nonparametric Distributions, With Applications To Option Valuation by Ángel León & Javier Mencía & Enrique Sentana [Downloadable!] 2005 Firm Heterogeneity and Credit Risk Diversification by Samuel Hanson & M. Hashem Pesaran & Til Schuermann [Downloadable!] 2005 Scope for Credit Risk Diversification by Hanson, S. & Pesaran, M.H. & Schuermann, T. [Downloadable!] 2005 Produktdesign und Semi-Statische Absicherung von Turbo-Zertifikaten by Antje Mahayni & Michael Suchanecki [Downloadable!] 2005 Loss Analysis of a Life Insurance Company Applying Discrete-time Risk-minimizing Hedging Strategies by An Chen [Downloadable!] 2005 Explaining the level of credit spreads: option-implied jump risk premia in a firm value model by Martijn Cremers & Joost Driessen & Pascal Maenhout & David Weinbaum [Downloadable!] 2005 The pricing of unexpected credit losses by Jeffery D. Amato & Eli M Remolona [Downloadable!] 2005 Explaining credit default swap spreads with equity volatility and jump risks of individual firms by Haibin Zhu & Benjamin Yibin Zhang & Hao Zhou [Downloadable!] 2005 Can option smiles forecast changes in interest rates? 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Mercedes 2005 Risk aversion and risk premia in the CDS market by Jeffery D Amato [Downloadable!] 2005 The rise and fall of US dollar interest rate volatility: evidence from swaptions by Fabio Fornari [Downloadable!] 2005 Contractual terms and CDS pricing by Franck Packer & Haibin Zhu [Downloadable!] 2005 CDS index tranches and the pricing of credit risk correlations by Jeffery D Amato & Jacob Gyntelberg [Downloadable!] 2004 Heterogeneity in Price Rigidity: Evidence from a Case Study Using Micro-Level Data by Daniel Levy & Shantanu Dutta & Mark Bergen [Downloadable!] 2004 Price Flexibility in Channels of Distribution: Evidence from Scanner Data by Shantanu Dutta & Mark Bergen & Daniel Levy [Downloadable!] 2004 System Identification in Noisy Data Environments: An Application to Six Asian Stock Markets by Cornelis A Los [Downloadable!] 2004 Why VAR Fails: Long Memory and Extreme Events in Financial Markets by Cornelis A. Los [Downloadable!] 2004 A Generalized Earnings-Based Stock Valuation Model by Ming Dong & David Hirshleifer [Downloadable!] 2004 Stock Valuation and Investment Strategies by Zhiwu Chen & Ming Dong [Downloadable!] 2004 When to Put All Your Eggs in One Basket.....When Diversification Increases Portfolio Risk! by Cornelis A. Los [Downloadable!] 2004 The Effects of Option Expiration on NSE volume and prices by Akash Gupta & Samik Metia & Prashant Trivedi [Downloadable!] 2004 Accounting for Employee Stock Options: An Economics Perspective by Junning Cai [Downloadable!] 2004 Multi-Fractal Spectral Analysis of the 1987 Stock Market Crash by CORNELIS A. LOS & ROSSITSA M. YALAMOVA [Downloadable!] 2004 Optimal Multi-Currency Investment Strategies with Exact Attribution in Three Asian Countries by CORNELIS A. LOS [Downloadable!] 2004 The Changing Concept of Financial Risk by CORNELIS A. LOS [Downloadable!] 2004 What Constitutes a Good Model? 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Galagedera [Downloadable!] 2004 GARCH Option Pricing Under Skew by Sofiane ABOURA [Downloadable!] 2004 Idiosyncratic Risk, Systematic Risk and Stochastic Volatility: An Implementation of Merton’s Credit Risk Valuation by Gatfaoui Hayette [Downloadable!] 2004 How Does Systematic Risk Impact Stocks? 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New evidence from an extensive set of US and foreign futures contracts by Daal, Elton & Farhat, Joseph Basheer & Wei, Peihwang P. [Downloadable!] 2004 Approximating equity volatility by Ahmed Loulit [Downloadable!] 2004 Do hedging instruments stabilize markets? by Florian Wagener & William Brock & Cars Hommes 2004 Mixed Lognormal Distributions for Derivatives Pricing and Risk-Management by Dietmar Leisen [Downloadable!] 2004 Asymmetric Jump Processes: Option Pricing Implications by Brice Dupoyet 2004 Pricing a Path-dependent American Option by Monte Carlo Simulation by Masaaki Kijima & Hajime Fujiwara 2004 The Manufacturing Flexibility to Switch Products: Valuation and Optimal Strategy by Sorin Tuluca & Piotr Stalinski [Downloadable!] 2004 Speculative option valuation: A supercomputing approach by Enrico Scalas & Alessandro Vivoli & Paride Dagna & Guido Germano 2004 The Risk-Neutral Measure and Option Pricing under Log-Stable Uncertainty using Romberg Fourier Inversion by J. Huston McCulloch [Downloadable!] 2004 On the Intradaily Relationship between Information Revelation and Trade Duration: The Evidence of MSCI Taiwan Futures by Chiang & Min-Hsien;Fan 2004 South Sea Company Subscription Shares and Warrant Values in 1720 by Gary S. Shea [Downloadable!] 2004 Rational Pricing of Options during the South Sea Bubble: Valuing the 22 August 1720 Options by Gary S. Shea [Downloadable!] 2004 The Equity Index Skew, Market Crashes and Asymmetric Normal Mixture GARCH by Carol Alexandra & Emese Lazar [Downloadable!] 2004 An Uncertain Volatility Explanation for Delayed Calls of Convertible Bonds by Ali Bora Yigibasioglu & Carol Alexandra [Downloadable!] 2004 Efeito da flexibilidade na decisão de investimento: Uma aplicação à exploração do cobre by Gomes Santana Félix, Elisabete & Esperança, José Paulo [Downloadable!] 2004 Optimal hedging strategies for multi-period guarantees in the presence of transaction costs: A stochastic programming approach by Fleten, Stein-Erik & Lindset, Snorre [Downloadable!] 2004 Option Pricing Under the Variance Gamma Process by Fiorani, Filo [Downloadable!] 2004 Introducing contemporaneous open-outcry and e-trading at the Chicago Board of Trade by Ulibarri, Carlos A. [Downloadable!] 2004 Private Information: Similarity as Compatibility by João Correia-da-Silva & Carlos Hervés-Beloso [Downloadable!] 2004 Various Features of the Chooser Flexible Cap by Masamitsu Ohnishi & Yasuhiro Tamba [Downloadable!] 2004 Pricing of a Chooser Flexible Cap and its Calibration by Daisuke Ito & Masamitsu Ohnishi & Yasuhiro TAMBA [Downloadable!] 2004 The Cross-Section of Volatility and Expected Returns by Andrew Ang & Robert J. Hodrick & Yuhang Xing & Xiaoyan Zhang [Downloadable!] 2004 Facts and Fantasies about Commodity Futures by Gary Gorton & K. Geert Rouwenhorst [Downloadable!] 2004 Should We Fear Derivatives? by Rene M. Stulz [Downloadable!] 2004 Modelling the Risk and Return Relation Conditional on Market Volatility and Market Conditions by Don U.A. Galagedera & Robert Faff [Downloadable!] 2004 The internal efficiency of Index Option Markets:Tests on the Italian Market by Costanza Torricelli & Marianna Brunetti [Downloadable!] 2004 Why is the index smile so steep? by Christian Schlag & Nicole Branger [Downloadable!] 2004 The Timing of Bets and the Favorite-Longshot Bias by Marco Ottaviani & Peter Norman Sørensen [Downloadable!] 2004 Autoregressive Conditional Volatility, Skewness And Kurtosis by Ángel León & Gonzalo Rubio & Gregorio Serna [Downloadable!] 2004 Forward Contracting and Collusion in Oligopoly by Juan Pablo Montero [Downloadable!] 2004 The Consumption-Based Determinants of the Term Structure of Discount Rates by Gollier, Christian [Downloadable!] 2004 Financial fragility under implicit insurance scheme: Evidence from the collapse of Thai financial institutions by Anuchitworawong, Chaiyasit [Downloadable!] 2004 Deposit Insurance, Corporate Governance and Discretionary Behavior: Evidence from Thai Financial Institutions by Anuchitworawong, Chaiyasit [Downloadable!] 2004 Towards a General Theory of Good Deal Bounds by Björk, Tomas & Slinko, Irina [Downloadable!] 2004 On Finite Dimensional Realizations of Forward Price Term Structure Models by Gaspar, Raquel M. [Downloadable!] 2004 General Quadratic Term Structures of Bond, Futures and Forward Prices by Gaspar, Raquel M. [Downloadable!] 2004 On the Pricing of Step-Up Bonds in the European Telecom Sector by Lando, David & Mortensen, Allan [Downloadable!] 2004 Warrant Pro 1: Market Price Synthesis with a Software Agent and a Neurosimulator by Bartels, Patrick & Breitner, Michael H. [Downloadable!] 2004 Is Jump Risk Priced? - What We Can (and Cannot) Learn From Option Hedging Errors by Nicole Branger & Christian Schlag [Downloadable!] 2004 When Are Static Superhedging Strategies Optimal? by Nicole Branger & Angelika Esser & Christian Schlag [Downloadable!] 2004 The Impact of Fat Tails on Equilibrium Rates of Return and Term Premia by Prasad V. Bidarkota & Brice V. Dupoyet [Downloadable!] 2004 The Dynamics of Mergers and Acquisitions by Erwan Morellec & Alexei Zdhanov [Downloadable!] 2004 Investment under Uncertainty and Incomplete Markets by Julien Hugonnier & Erwan Morellec [Downloadable!] 2004 The Effects of Macroeconomic News on Beliefs and Preferences: Evidence from the Options Market by Alessandro BEBER & Michael W. BRANDT [Downloadable!] 2004 Valoración de la garantía de los planes de pensiones en España by José Manuel Chamorrro Gómez [Downloadable!] 2004 The Risk-Neutral Measure and Option Pricing under Log-Stable Uncertainty by J. Huston McCulloch [Downloadable!] 2004 Specification Analysis of Option Pricing Models Based on Time-Changed Levy Processes by Jing-zhi Huang & Liuren Wu [Downloadable!] 2004 Evaluating Incentive Options by Wei Xiong & Ronnie Sircar [Downloadable!] 2004 A Bayesian semiparametric approach to pricing the S&P 500 index options by Marcin Kacperczyk; Paul Damien; Stephen Walker 2004 Pricing Derivatives on Two Lé}vy-driven Stocks by Ernesto Mordecki & José Fajardo [Downloadable!] 2004 Dynamics of Interest Rate Curve by Functional Auto-regression by Alexei Onatski & Slava Kargin [Downloadable!] 2004 Prognoses for a Non-Predictable Discounted Commodity Price Process by Wright, Brian D. & Bobenrieth & Eugenio S. A. 2004 Structurally Sound Dynamic Index Futures Hedging by Patrick McGlenchy & Paul Kofman [Downloadable!] 2004 Pricing LME Commodity Futures Contracts by Richard Heaney 2004 Understanding Electricity Price Volatility within and across Markets by Goto, Mika & Karolyi, G. Andrew [Downloadable!] 2004 The information content of over-the-counter currency options by Peter Christoffersen & Stefano Mazzotta [Downloadable!] 2004 Option-implied asymmetries in bond market expectations around monetary policy actions of the ECB by Sami Vähämaa [Downloadable!] 2004 Comments on "A reconsideration of tax shield valuation" by Enrique R. Arzac and Lawrence R. Glosten by Fernandez, Pablo [Downloadable!] 2004 An Anatomy of Futures Returns: Risk Premiums and Trading Strategies by Frans A. de Roon & Rob W. J. van den Goorbergh & Theo E. Nijman [Downloadable!] 2004 Asset Prices and International Spillovers: An Empirical Investigation by Sarno, Lucio & Valente, Giorgio [Downloadable!] 2004 Confidence Building on Euro Conversion: Theory and Evidence from Currency Options by Driessen, Joost & Perotti, Enrico C [Downloadable!] 2004 Valuation Of A Biotech Company: A Real Options Approach by Angel Leon & Diego Piñeiro [Downloadable!] 2004 Representative Consumer's Risk Aversion and Efficient Risk-Sharing Rules by Hara, C. & Christoph Kuzmics [Downloadable!] 2004 On an Alternative Approach to Pricing General Barrier Options by Michael Suchanecki [Downloadable!] 2004 Market Expectations Implicit in Derivative Prices: Applications to Exchange and Oil Markets by Alejandro Díaz de León & Martha Elena Casanova [Downloadable!] 2004 Estimating state price densities by Hermite polynomials: theory and application to the Italian derivatives market by Paolo Guasoni [Downloadable!] 2004 Estimating expectations of shocks using option prices by Antonio Di Cesare [Downloadable!] 2004 Modelling the Evolution of Credit Spreads in the United States by Stuart M. Turnbull & Jun Yang [Downloadable!] 2004 Commodity-Linked Bonds: A Potential Means for Less-Developed Countries to Raise Foreign Capital by Joseph Atta-Mensah [Downloadable!] 2004 Firm and Corporate Bond Valuation: A Simulation Dynamic Programming Approach by Augusto Castillo [Downloadable!] 2004 Márgenes con spread intraclase para el mercado mexicano de derivados by Díaz-Tinoco, Jaime & Venegas-Martínez, Francisco 2004 The implicit models of the option valuation by Gerardo Arregui Ayastuy [Downloadable!] 2004 Nonlinear Intraday Dynamics in Eurostoxx50 Index Markets by M. Dolores Robles-Fernandez & Luisa Nieto & M. Angeles Fernandez [Downloadable!] 2004 Inferring the Forward Looking Equity Risk Premium from Derivative Prices by Ramaprasad Bhar & Carl Chiarella & Wolfgang J. Runggaldier [Downloadable!] 2003 Notes on convexity and quanto adjustments for interest rates and related options by Boenkost, Wolfram & Schmidt, Wolfgang M. [Downloadable!] 2003 The Forecasting Performance of German Stock Option Densities by Keller, Joachim & Glatzer, Ernst & Craig, Ben R & Scheicher, Martin [Downloadable!] 2003 Net Foreign Assets Management and Capital Account Liberalization. The Romanian Case by Florian Neagu [Downloadable!] 2003 Net Foreign Assets Management and Capital Account Liberalization. The Romanian Case by Florian Neagu [Downloadable!] 2003 Net Foreign Assets Management and Capital Account Liberalization. The Romanian Case by Florian Neagu [Downloadable!] 2003 Net Foreign Assets Management and Capital Account Liberalization. The Romanian Case by Florian Neagu [Downloadable!] 2003 Net Foreign Assets Management and Capital Account Liberalization. The Romanian Case by Florian Neagu [Downloadable!] 2003 American Option Pricing with Transaction Costs by Valeri Zakamouline [Downloadable!] 2003 European Option Pricing and Hedging with both Fixed and Proportional Transaction Costs by Valeri Zakamouline [Downloadable!] 2003 Alternative Market Structures for Derivatives by Sohnke M. Bartram & Frank R. Fehle [Downloadable!] 2003 Net Foreign Assets Management and Capital Account Liberalization. The Romanian Case by Florian Neagu [Downloadable!] 2003 Consistent Estimation of Pricing Kernels from Noisy Price Data by Vladislav Kargin [Downloadable!] 2003 Explicit bond option and swaption formula in Heath-Jarrow-Morton one factor model by Marc Henrard [Downloadable!] 2003 A semi-analytical approach to Canary swaptions in HJM one-factor model by Henrard Marc [Downloadable!] 2003 Lattice Option Pricing By Multidimensional Interpolation by Vladislav Kargin [Downloadable!] 2003 Risk Disaggregation And Credit Risk Valuation In The Merton Like Way by Hayette Gatfaoui [Downloadable!] 2003 Competition among Alternative Option Market Structures: Evidence from Eurex vs. Euwax by Sohnke M. Bartram & Frank R. Fehle [Downloadable!] 2003 Efficient Path-Dependent Valuation Using Lattices: Fixed and Floating Strike Asian Options by Allen Abrahamson [Downloadable!] 2003 A Note on Constructing 50-50 Step Probability Binomial Lattices to Replicate Wiener Diffusion by Allen Abrahamson [Downloadable!] 2003 A Simple Model for Credit Migration and Spread Curves by Li Chen & Damir Filipovic [Downloadable!] 2003 The Role of Intra-Day and Inter-Day Data Effects in Determining Linear and Nonlinear Granger Causality Between Australian Futures and Cash Index Markets by R. M. Eldridge & Maurice Peat & Max Stevenson [Downloadable!] 2003 An Alternative Interest Rate Term Structure Model by Eckhard Platen [Downloadable!] 2003 Diversified Portfolios in a Benchmark Framework by Eckhard Platen 2003 A Benchmark Framework for Risk Management by Eckhard Platen [Downloadable!] 2003 Pricing and Hedging for Incomplete Jump Diffusion Benchmark Models by Eckhard Platen [Downloadable!] 2003 Fair Pricing of Weather Derivatives by Eckhard Platen & Jason West [Downloadable!] 2003 Modeling the Volatility and Expected Value of a Diversified World Index by Eckhard Platen [Downloadable!] 2003 Pricing of Index Options Under a Minimal Market Model with Lognormal Scaling by David Heath & Eckhard Platen [Downloadable!] 2003 On the Valuation and Incentive Effects of Executive Cash Bonus Contracts by Lionel Martellini & Branko Urosevic [Downloadable!] 2003 Australian Asian Options by Manuel Moreno & Javier F. Navas [Downloadable!] 2003 A General Decomposition Formula for Derivative Prices in Stochastic Volatility Models by Elisa Alòs [Downloadable!] 2003 Reexamining the maturity effect using extensive futures data by Daal, Elton & Farhat, Joseph Basheer & Wei, Peihwang P. [Downloadable!] 2003 A Monte Carlo Method for the Normal Inverse Gaussian Option Valuation Model using an Inverse Gaussian Bridge by Nick Webber & Claudia Ribeiro [Downloadable!] 2003 A Stochastic Seasonal Model for Commodity Option Pricing by Monica Barbu & Kevin Burrage 2003 Valuing Path Dependent Options in the Variance-Gamma Model by Monte Carlo with a Gamma Bridge by Nick Webber & Claudia Ribeiro [Downloadable!] 2003 An Implementation of the Shirakawa Jump-Diffusion Term Structure Model by Christina Nikitopoulos-Sklibosios & Carl Chiarella 2003 The Evolution of Expectations Towards Expiration by Roy van der Weide & Remco Peters 2003 A Numerical Solution to American Style Options on Commodities by Kevin Burrage & Jamie Alcock & Monica Barbu 2003 The estimation of implied volatility from the Black-Scholes model: some new formulas and their applications by Steven Li [Downloadable!] 2003 Pricing American Options under Stochastic Volatility: A New Method Using Chebyshev Polynomials to Approximate the Early Exercise Boundary by Elias Tzavalis & Shijun Wang [Downloadable!] 2003 A General Equilibrium Financial Asset Economy with Transaction Costs and Trading Constraints by Frank Milne & Edwin Neave [Downloadable!] 2003 Opções reais: tipologias e sua avaliação by Gomes Santana Félix, Elisabete [Downloadable!] 2003 An Equilibrium Analysis of Real Estate by Steven R. Grenadier [Downloadable!] 2003 Limited Arbitrage and Short Sales Restrictions: Evidence from the Options Markets by Eli Ofek & Matthew Richardson & Robert F. Whitelaw [Downloadable!] 2003 Pricing Australian S&P200 Options: A Bayesian Approach Based on Generalized Distributional Forms by David B. Flynn & Simone D. Grose & Gael M. Martin & Vance L. Martin [Downloadable!] 2003 Implicit Bayesian Inference Using Option Prices by Gael M. Martin & Catherine S. Forbes & Vance L. Martin [Downloadable!] 2003 Bayesian Estimation of a Stochastic Volatility Model Using Option and Spot Prices: Application of a Bivariate Kalman Filter by Catherine S. Forbes & Gael M. Martin & Jill Wright [Downloadable!] 2003 Call and put implied volatilities and the derivation of option implied trees by V. Moriggia & S. Muzzioli & C. Torricelli [Downloadable!] 2003 The Put-Call Parity in the Index Options Markets: Further results for the Italian Mib30 Options market by Costanza Torricelli & Marianna Brunetti [Downloadable!] 2003 Endogenous Value and Financial Fragility by Gobert, Karine & González, Patrick & Lai, Alexandra & Poitevin, Michel [Downloadable!] 2003 Endogenous Value and Financial Fragility by Gobert, Karine & González, Patrick & Lai, Alexandra & Poitevin, Michel [Downloadable!] 2003 A Diffusion Approximation for the Riskless Profit under Selling of Discrete Time Call Options by Nagaev, Sergei A. [Downloadable!] 2003 WARRANT-PRO-2: A GUI-Software for Easy Evaluation, Design and Visualization of European Double-Barrier Options by Oliver Kubertin & Michael H. Breitner 2003 Valuing Corporate Liabilities by Ericsson, Jan & Reneby, Joel [Downloadable!] 2003 Long-Term Supply Contracts and Collusion in the Electricity Markets by Le Coq, Chloé [Downloadable!] 2003 On the Geometry of Interest Rate Models by Björk, Tomas [Downloadable!] 2003 Does the Black-Scholes formula work for electricity markets? A nonparametric approach by Hjalmarsson, Erik [Downloadable!] 2003 The Value and Incentives of Option-based Compensation in Danish Listed Companies by Bechmann, Ken L. & Jørgensen, Peter Løchte [Downloadable!] 2003 Competition and Irreversible Investments under Uncertainty by Michele Moretto [Downloadable!] 2003 Quantitative Selection of Long-Short Hedge Funds by Kaifeng CHEN & Alexander PASSOW [Downloadable!] 2003 Sovereign Debt Contract and Optimal Consumption-Investment Strategies by Andriy DEMCHUK, [Downloadable!] 2003 Autorregresive conditional volatility, skewness and kurtosis by Angel León & Gonzalo Rubio & Gregorio Serna [Downloadable!] 2003 An empirical comparison of the performance of alternative option pricing models by Gonzalo Rubio & Eva Ferreira & Mónica Gago [Downloadable!] 2003 Smiling under stochastic volatility by Angel León & Gonzalo Rubio [Downloadable!] 2003 A Merton Model Approach to Assessing the Default Risk of UK Public Companies by Tudela, Merxe & Garry Young [Downloadable!] 2003 The Jump Component of the Volatility Structure of Interest Rate Futures Markets: An International Comparison by To, Thuy Duong & Carl Chiarella [Downloadable!] 2003 Risk Management: An Interdisciplinary Framework by Tapiero, Charles [Downloadable!] 2003 Value at Risk and Inventory Control by Tapiero, Charles [Downloadable!] 2003 A Class of Marked Point Processes for Modelling Electricity Prices by Geman, Hélyette & Roncoroni, Andrea [Downloadable!] 2003 Black Scholes for Portfolios of Options in Discrete Time: the Price is Right, the Hedge is wrong by Bas Peeters & Cees L. Dert & André Lucas [Downloadable!] 2003 Analytic American option pricing and applications by Sbuelz, A. [Downloadable!] 2003 Structural rfv: recovery form and defaultable debt analysis by Sbuelz, A. & Guha, R. [Downloadable!] 2003 Multivariate option pricing using dynamic copula models by Goorbergh, R.W.J. van den & Genest, C. & Werker, B.J.M. [Downloadable!] 2003 Jackknifing Bond Option Prices by Peter C.B. Phillips & Jun Yu [Downloadable!] 2003 Late Informed Betting and the Favourite-Longshot Bias by Ottaviani, Marco & Sorensen, Peter Norman [Downloadable!] 2003 Heterogeneity of Investors and Asset Pricing in a Risk-Value World by Franke, Günter & Weber, Martin [Downloadable!] 2003 Evaluation Of A Taxi Sector Reform: A Real Options Approach by Gerard Llobet & Meritxell Albertí & Ángel León [Downloadable!] 2003 The Importance of the Loss Function in Option Valuation by Peter Christoffersen & Kris Jacobs [Downloadable!] 2003 Order Flows, Delta Hedging and Exchange Rate Dynamics by Bronka Rzepkowski [Downloadable!] 2003 A real options approach to tender offers and acquisitions processes by José Dapena & Santiago Fidalgo [Downloadable!] 2003 The Risk Management of Minimum Return Guarantees by Antje Mahayni & Erik Schlögl [Downloadable!] 2003 The Effect of Dynamic Hedging of Options Positions on Intermediate-Maturity Interest Rates by Thanasis N. Christodoulopoulos & Ioulia Grigoratou [Downloadable!] 2003 Collateral and Credit Supply by Joseph Atta-Mensah [Downloadable!] 2003 Valuation of Defaultable Bonds and Debt Restructuring by Ariadna Dumitrescu [Downloadable!] 2003 Are One Factor Logarithmic Volatility Models Useful to Fit the Features of Financial Data? An Application to Microsoft Data by Maria Helena Lopes Moreira da Veiga [Downloadable!] 2003 Forecasting Volatility Using A Continuous Time Model by Maria Helena Lopes Moreira da Veiga [Downloadable!] 2003 Extension of the corrected barrier approximation by Broadie, Glasserman, and Kou by Per Hörfelt [Downloadable!] 2003 Pricing of catastrophe reinsurance and derivatives using the Cox process with shot noise intensity by Ji-Wook Jang & Angelos Dassios [Downloadable!] 2003 Random step functions model for interest rates by Eleanor Virag & Fima C. Klebaner & Konstantin Borovkov [Downloadable!] 2003 Numerical solution of jump-diffusion LIBOR market models by Nicolas Merener & Paul Glasserman [Downloadable!] 2003 The Pricing Of Options On Credit-Sensitive Bonds by Sandra Peterson & Richard C. Stapleton [Downloadable!] 2003 Financial Innovation in Multi-Period Economies by Enrique Kawamura [Downloadable!] 2003 Securities Transaction Taxes for U.S. Financial Markets by Robert Pollin & Dean Baker & Marc Schaberg [Downloadable!] 2003 Market Risk and Volatility in the Brazilian Stock Market by Joe Akira Yoshino [Downloadable!] 2003 Lead Lag Relationships between Short Term Options and the French Stock Index CAC 40: The Impact of Time Measurement by Alexis Cellier 2002 Market Prices of Risk and Return Predictability in a Joint Stock-Bond Pricing Model by Harry Mamaysky [Downloadable!] 2002 A Model for Pricing Stocks and Bonds with Default Risk by Harry Mamaysky [Downloadable!] 2002 A Model For Pricing Stocks and Bonds by Harry Mamaysky [Downloadable!] 2002 The Subjective and Objective Evaluation of Incentive Stock Options by Jonathan E. Ingersoll Jr. [Downloadable!] 2002 On the Joint Pricing of Stocks and Bonds: Theory and Evidence by Harry Mamaysky [Downloadable!] 2002 Option pricing with Levy Process by Eric Benhamou [Downloadable!] 2002 A Martingale Result for Convexity Adjustment in the Black Pricing Model by Eric Benhamou [Downloadable!] 2002 Smart Monte Carlo: Various tricks using Malliavin calculus by Eric Benhamou [Downloadable!] 2002 A Generalisation of Malliavin Weighted Scheme for Fast Computation of the Greeks by Eric Benhamou [Downloadable!] 2002 Information, Alternative Markets, and Security Price Processes: A Survey of Literature by Rafiqul Bhuyan [Downloadable!] 2002 What Type of Process Underlies Options? A Simple Robust Test by Peter Carr & Liuren Wu [Downloadable!] 2002 Markov Chain Approximations For Term Structure Models by David Backus & Liuren Wu & Stanley Zin [Downloadable!] 2002 Asset Pricing Under The Quadratic Class by Markus Leippold & Liuren Wu [Downloadable!] 2002 Design and Estimation of Quadratic Term Structure Models by Markus Leippold & Liuren Wu [Downloadable!] 2002 The Finite Moment Log Stable Process and Option Pricing by Peter Carr & Liuren Wu [Downloadable!] 2002 Time-Changed Levy Processes and Option Pricing by Peter Carr & Liuren Wu [Downloadable!] 2002 Term Structure of Interest Rates, Yield Curve Residuals, and the Consistent Pricing of Interest Rates and Interest Rate Derivatives by Massoud Heidari & Liuren Wu [Downloadable!] 2002 Accouting for Biases in Black-Scholes by David Backus & Silverio Foresi & Liuren Wu [Downloadable!] 2002 Analytical Aproach to Value Options with State Variables of a Levy System by Nguyen Thanh Long [Downloadable!] 2002 All Moments of Discrete and Continuous Arithmetic Averages on Brownian Paths: A Closed Form by Allen Abrahamson [Downloadable!] 2002 A note on a generalized Black-Scholes formula by Bakhodir A Ergashev [Downloadable!] 2002 Pricing Convertible Bonds with Interest Rate, Equity, Credit and FX Risk by Ali Bora Yigitbasioglu [Downloadable!] 2002 A Benchmark Framework for Integrated Risk Management by Eckhard Platen [Downloadable!] 2002 Benchmark Model with Intensity Based Jumps by Eckhard Platen [Downloadable!] 2002 A Maximum Likelihood Approach to Estimation of Heath-Jarrow-Morton Models by Ram Bhar & Carl Chiarella & Thuy Duong To [Downloadable!] 2002 Consistent Pricing and Hedging for a Modified Constant Elasticity of Variance Model by David Heath & Eckhard Platen [Downloadable!] 2002 A Benchmark Approach to Filtering in Finance by Eckhard Platen & Wolfgang Runggaldier [Downloadable!] 2002 A Discrete Time Benchmark Approach for Finance and Insurance by Hans Buhlmann & Eckhard Platen [Downloadable!] 2002 Variance Reduction Methods for Simulation of Densities on Wiener Space by Arturo Kohatsu & Roger Pettersson [Downloadable!] 2002 Numerical Investigations of the Heath Jarrow Morton Model with Forward Rate Dependent Volatility by Carl Chiarella & Silvana Musti 2002 Daily Behavior Of Futures Returns: Evidence Form A New Computational Method by Roger Koppl & Sorin Tuluca 2002 Merton-style option pricing under regime switching by John Driffill & Turalay Kenc & Martin Sola 2002 Heterogeneous Preferences and the Representative Investor by Frank Niehaus 2002 Price Adjustment Time and the Black-Scholes Option Pricing Model: Discussion and New Results by Emmanuel Haven 2002 Finite element method for pricing European contingent claims on multiple assets. Part II: convergence and optimal error estimates by Fausto Gozzi & Simona Sanfelici 2002 Finite element method for pricing European contingent claims on multiple assets. Part I: semigroup approach and regularity estimates by Fausto Gozzi & Simona Sanfelici 2002 Structural Change Testing in Stochastic Volatility Models by J. del Hoyo & J.-Guillermo Llorente 2002 When Did The Smart Money in Enron Lose Its' Smirk? by Bruce Mizrach [Downloadable!] 2002 An Empirical Study of Credit Default Swaps by Frank Skinner & Antonio Diaz [Downloadable!] 2002 Continuous Time Regime Switching Models and Applications in Estimating Processes with Stochastic Volatility and Jumps by Kyriakos Chourdakis [Downloadable!] 2002 Fundamental Properties of Bond Prices in Models of the Short-Term Rate by Antonio Mele [Downloadable!] 2002 Incomplete Diversification and Asset Pricing by Robert Elliott & Dilip Madan & Frank Milne [Downloadable!] 2002 Tests d'arbitrage et surfaces de volatilité : analyse empirique sur données haute fréquence by Ardia, David [Downloadable!] 2002 Extracting market expectations from option prices: an application to over-the-counter New Zealand dollar options by Aron Gereben [Downloadable!] 2002 Stochastic Dominance Bounds on Derivative Prices in a Multiperiod Economy with Proportional Transaction Costs by George M. Constantinides & Stylianos Perrakis [Downloadable!] 2002 Controlling the Cost of Minimum Benefit Guarantees in Public Pension Conversions by Kent Smetters [Downloadable!] 2002 Estimating Affine Multifactor Term Structure Models Using Closed-Form Likelihood Expansions by Yacine Ait-Sahalia & Robert Kimmel [Downloadable!] 2002 Pricing Currency Options in Tranquil Markets: Modelling Volatility Frowns by G.C. Lim & G.M. Martin & V.L. Martin [Downloadable!] 2002 Bayesian Estimation of a Stochastic Volatility Model Using Option and Spot Prices by C.S. Forbes & G.M. Martin & J. Wright [Downloadable!] 2002 Nonsimultaneity and Futures Option Pricing: Simulation and Empirical Evidence by Robert E.J. Hibbard & Rob Brown & Keith R. McLaren [Downloadable!] 2002 Parametric Pricing of Higher Order Moments in S&P500 Options by G.C. Lim & G.M. Martin & V.L. Martin [Downloadable!] 2002 Finite dimensional Markovian realizations for stochastic volatility forward rate models by Björk, Tomas & Landén, Camilla & Svensson, Lars [Downloadable!] 2002 A Note on the Pricing of Real Estate Index Linked Swaps by Björk, Tomas & Clapham, Eric [Downloadable!] 2002 On the Use of Numeraires in Option pricing by Benninga, Simon & Björk, Tomas & Wiener, Zvi [Downloadable!] 2002 Stochastic Volatility and Seasonality in Commodity Futures and Options: The Case of Soybeans by Richter, Martin & Sørensen, Carsten [Downloadable!] 2002 On valuation before and after tax in no arbitrage models: Tax neutrality in the discrete time model by Jensen, Bjarne Astrup [Downloadable!] 2002 Banks’ option to lend, interest rate sensitivity, and credit availability by Hasan , Iftekhar & Sarkar, Sudipto [Downloadable!] 2002 Volatility Estimation via Hidden Markov Models by Alessandro Rossi & Giampiero M. Gallo [Downloadable!] 2002 Exploring for the Determinants of Credit Risk in Credit Default Swap Transaction Data: Is Fixed-Income Markets’ Information Suffcient to Evaluate Credit Risk? by Didier Cossin & Tomas Hricko & Daniel Aunon-Nerin & Zhijiang Huang [Downloadable!] 2002 Interactions Between Market and Credit Risk: Modeling the Joint Dynamics of Default-Free and Defaultable Bond Term Structures by Roger WALDER [Downloadable!] 2002 Option Pricing with Discrete Rebalancing by Jean-Luc PRIGENT & Olivier RENAULT & Olivier SCAILLET [Downloadable!] 2002 Why does Implied Risk Aversion Smile? by Alexandre Ziegler [Downloadable!] 2002 Market Dynamics Around Public Information Arrivals by Angelo Ranaldo [Downloadable!] 2002 Valuation of Sovereign Debt with Strategic Defaulting and Rescheduling by Michael WESTPHALEN [Downloadable!] 2002 Non-institutional Market Making Behavior: The Dalian Futures Exchange by Jorda, Oscar & Liu, Holly & Williams, Jeffrey [Downloadable!] 2002 Alternative Models for Stock Price Dynamic by Chernov, Mikhail & Gallant, A. Ronald & Ghysels, Eric & Tauchen, George [Downloadable!] 2002 Pricing and Hedging Guaranteed Annuity Options via Static Option Replication by Antoon Pelsser [Downloadable!] 2002 Behavioral preferences for individual securities: : the case for call warrants and call options by Horst, J. ter & Veld, C. [Downloadable!] 2002 Annuity Risk: Volatility and Inflation Exposure in Payments from Immediate Life Annuities by Laura Ballotta & Steven Haberman [Downloadable!] 2002 When Does Strategic Debt Service Matter? by Acharya, Viral V & Huang, Jing-Zhi & Subrahmanyam, Marti G. & Sundaram, Rangarajan K [Downloadable!] 2002 Pricing Credit Derivatives with Rating Transitions by Acharya, Viral V & Das, Sanjiv Ranjan & Sundaram, Rangarajan K [Downloadable!] 2002 Corporate Bond Valuation and Hedging with Stochastic Interest Rates and Endogenous Bankruptcy by Acharya, Viral V & Carpenter, Jennifer [Downloadable!] 2002 Analytic Evaluation of Volatility Forecasts by Torben G. Andersen & Tim Bollerslev & Nour Meddahi [Downloadable!] 2002 Alternative Models for Stock Price Dynamics by Mikhail Chernov & A. Ronald Gallant & Eric Ghysels & George Tauchen [Downloadable!] 2002 On the Valuation of Warrants and Executive Stock Options: Pricing Formulae for Firms with Multiple Warrants/Executive Options by Darsinos, T. & Satchell, S.E. [Downloadable!] 2002 The Implied Distribution for Stocks of Companies with Warrants and/or Executive Stock Options by Darsinos, T. & Satchell, S.E. [Downloadable!] 2002 Maximal Arbitrage by Klaus Schürger [Downloadable!] 2002 Extended Libor Market Models with Affine and Quadratic Volatility by Christian Zühlsdorff [Downloadable!] 2002 The Pricing of Derivatives on Assets with Quadratic Volatility by Christian Zühlsdorff [Downloadable!] 2002 How to Avoid a Hedging Bias by Antje Dudenhausen [Downloadable!] 2002 On the fundamental theorem of asset pricing: random constraints and bang-bang no-arbitrage criteria by Igor V. Evstigneev & Klaus Schürger & Michael I. Taksar [Downloadable!] 2002 An Examination of the Effects of Parameter Misspecification by Antje Dudenhausen & Lutz Schlögl [Downloadable!] 2002 Effectiveness of Hedging Strategies under Model Misspecification and Trading Restrictions by Antje Dudenhausen [Downloadable!] 2002 The size of the equity premium by Fabio Fornari [Downloadable!] 2002 Intraday return and volatility relationships between the Ibex 35 spot and futures markets by Juan A. Lafuente [Downloadable!] 2002 Utility maximization on the real line under proportional transaction costs by Bruno Bouchard [Downloadable!] 2002 An analysis of a least squares regression method for American option pricing by Philip Protter & Emmanuelle Clément & Damien Lamberton [Downloadable!] 2002 The cumulant process and Esscher's change of measure by Albert N. Shiryaev & Jan Kallsen [Downloadable!] 2002 A model of financial market with several interacting assets. Complete market case by Victoria Steblovskaya & Sergio Albeverio [Downloadable!] 2002 No-arbitrage criteria for financial markets with efficient friction by (**), Christophe Stricker & (*), Miklós Rásonyi & Yuri Kabanov [Downloadable!] 2002 Pricing of Asian exchange rate options under stochastic interest rates as a sum of options by Klaus Sandmann & J. Aase Nielsen [Downloadable!] 2002 Conditional Gaussian models of the term structure of interest rates by Simon H. Babbs [Downloadable!] 2002 On the construction of finite dimensional realizations for nonlinear forward rate models by Camilla Landén & Tomas Björk [Downloadable!] 2002 A multicurrency extension of the lognormal interest rate Market Models by Erik Schlögl [Downloadable!] 2002 Valuation of exotic options under shortselling constraints by Uwe Wystup & Uwe Schmock & Steven E. Shreve [Downloadable!] 2002 Risk minimization under transaction costs by Paolo Guasoni [Downloadable!] 2002 Stochastic volatility, jumps and hidden time changes by Marc Yor & Dilip B. Madan & Hélyette Geman [Downloadable!] 2002 Derivative pricing based on local utility maximization by Jan Kallsen [Downloadable!] 2002 Valuation Of Convertible Bonds With Sequential Conversion by Wolfgang Bühler & Christian Koziol [Downloadable!] 2002 Valuation Of Defaultable Claims – A Survey by Marliese Uhrig-Homburg [Downloadable!] 2002 Comparative Analyses of Expected Shortfall and Value-at-Risk: Their Estimation Error, Decomposition, and Optimization by Yamai, Yasuhiro & Yoshiba, Toshinao [Downloadable!] 2001 Stock Valuation and Investment Strategies by Zhiwu Chen & Ming Dong [Downloadable!] 2001 A Valuation Study of Stock-Market Seasonality and Firm Size by Zhiwu Chen & Jan Jindra [Downloadable!] 2001 Stock Valuation in Dynamic Economics by Zhiwu Chen & Gurdip S. Bakshi [Downloadable!] 2001 Flexible Term Structure Estimation: Which Method Is Preferred? by Andrew Mark Jeffrey & Oliver B. Linton [Downloadable!] 2001 Duration, Convexity and Higher Order Hedging (Revisited) by Andrew Mark Jeffrey [Downloadable!] 2001 An Empirical Comparison of Default Swap Pricing Models by Patrick Houweling & Ton Vorst [Downloadable!] 2001 Analytically inducting option cash flows for Markovian interest rate models: A new application paradigm by Junwu Gan [Downloadable!] 2001 Pricing the Risk of Recovery in Default with APR Violation by Haluk Unal & Dilip Madan & Levent Güntay [Downloadable!] 2001 A Simple Option Formula for General Jump-Diffusion and other Exponential Levy Processes by Alan L. Lewis [Downloadable!] 2001 Arbitrage in Continuous Complete Markets by Eckhard Platen [Downloadable!] 2001 Migration of Price Discovery With Constrained Futures Markets by Anthony D. Hall & Paul Kofman & Steve Manaster [Downloadable!] 2001 Benchmark Pricing of Credit Derivatives Under a Standard Market Model by Mark Craddock & Eckhard Platen [Downloadable!] 2001 A Benchmark Model for Financial Markets by Eckhard Platen [Downloadable!] 2001 A Minimal Financial Market Model by Eckhard Platen 2001 On the Robustness of Least-Squares Monte Carlo (LSM) for Pricing American Derivatives by Manuel Moreno & Javier R. Navas [Downloadable!] 2001 Fast Fourier Transform for discrete Asian Options by E. Benhamou [Downloadable!] 2001 Digital Security Tokens and Their Derivatives by Kanta Matsuura 2001 Very High Order Lattice Methods for One Factor Models by Jonathan Alford and Nick Webber 2001 Pricing Barrier Bond Options with One-factor Interest Rate Models by Grace C.H. Kuan and Nick Webber 2001 A Partial Equilibrium Model of Option Markets by Dietmar P.J. Leisen and Kenneth L. Judd 2001 Volatility Reprojection and Forecasting Performance -- An EMM Approach toward the Multivariate Stochastic Volatility Model by George J. Jiang and Pieter J. van der Sluis 2001 Non Linear Error Correction in Spot and Forward Exchange Rates by David McMillan & Angela J Black 2001 Pricing Convertible Bonds with Interest Rate, Equity, Credit and FX Risk by Ali Bora Yigitbasioglu [Downloadable!] 2001 Credit Risk Diversification by Simonne Varotto [Downloadable!] 2001 Modelling Retail Deposit Spreads in the UK by Frank Skinner & Benton E. Gup & Michael Ioannides & Doowoo Nam [Downloadable!] 2001 Estimating Corporate Yield Curves by Antionio Diaz & Frank Skinner [Downloadable!] 2001 On modelling credit risk using Arbitrage Free Models by Frank Skinner & Antonio Diaz [Downloadable!] 2001 Comparison of numerical methods for the aproximation of option price by S. Sanfelici 2001 Arbitrage and Optimal Portfolio Choice with Financial Constraints by Helmut Elsinger & Martin Summer [Downloadable!] 2001 Model Uncertainty and Liquidity by Bryan R. Routledge & Stanley E. Zin [Downloadable!] 2001 Trading Inefficiencies in California's Electricity Markets by Severin Borenstein & James Bushnell & Christopher R. Knittel & Catherine Wolfram [Downloadable!] 2001 The Market for Crash Risk by David S. Bates [Downloadable!] 2001 The Pricing of Event Risks with Parameter Uncertainty by Kenneth A. Froot & Steven E. Posner [Downloadable!] 2001 Market Architecture and Nonlinear Dynamics of Australian Stock and Future Indices by Anderson, H.M. & Vahid, F. [Downloadable!] 2001 An Empirical Investigation of Structural Breaks in the Ex Ante Fisher Effect by Olekalns, N. [Downloadable!] 2001 Heterogeneity of Investors and Asset Pricing in a Risk-Value World by Günter Franke & Martin Weber [Downloadable!] 2001 Empirical Performance of the Czech and Hungarian Index Options under Jump by Lee, Gabriel S. & Boss, Michael & Klisz, Chris [Downloadable!] 2001 Extracting Risk-Neutral Probability Distributions from Option Prices Using Trading Volume as a Filter by Dupont, Dominique Y. [Downloadable!] 2001 Hedging Barrier Options: Current Methods and Alternatives by Dupont, Dominique Y. [Downloadable!] 2001 A Neural Network Versus Black-Scholes: A Comparison of Pricing and Hedging Performances by Amilon, Henrik 2001 The Valuation of Corporate Liabilities: Theory and Tests by Reneby, Joel & Ericsson, Jan [Downloadable!] 2001 An Analysis of Subordinated Debt in Banking: The Case of Costly Bankruptcy by Nivorozhkin, Eugene [Downloadable!] 2001 A Finite Element Implementation of Passport Options by Topper, Jürgen [Downloadable!] 2001 Worst Case Pricing of Rainbow Options by Topper, Jürgen [Downloadable!] 2001 Environmental Variables and Real Estate Prices by Din, A. & Hoesli, M. & Bender, A. 2001 Liquidity and Credit Risk by Jan ERICSSON & Olivier RENAULT [Downloadable!] 2001 Serial and Parallel Krylov Methods for Implicit Finite Difference Schemes Arising in Multivariate Option Pricing by Evis KËLLEZI, & Giorgio PAULETTO [Downloadable!] 2001 Defaultable Security Valuation and Model Risk by Aydin AKGUN, [Downloadable!] 2001 China's Gradualism in Banking Reform by Wai Chung Lo [Downloadable!] 2001 Arbitraging mispriced assets with separation portfolios to lessen total risk by Rodolfo Apreda [Downloadable!] 2001 Bayesian Forecasting of Options Prices: A Natural Framework for Pooling Historical and Implied Volatiltiy Information by Darsinos, T. & Satchell, S.E. [Downloadable!] 2001 Recovering the Probability Density Function of Asset Prices Using GARCH as Diffusion Approximations by Fabio Fornari & Antonio Mele [Downloadable!] 2001 Minimax and minimal distance martingale measures and their relationship to portfolio optimization by Thomas Goll & Ludger Rüschendorf [Downloadable!] 2001 Black and Scholes pricing and markets with transaction costs: An example by Haim Reisman [Downloadable!] 2001 Stochastic flows and the forward measure by Robert J. Elliott & John van der Hoek [Downloadable!] 2001 A deterministic-shift extension of analytically-tractable and time-homogeneous short-rate models by Damiano Brigo & Fabio Mercurio [Downloadable!] 2001 The numeraire portfolio for unbounded semimartingales by Dirk Becherer [Downloadable!] 2001 Forward rate dependent Markovian transformations of the Heath-Jarrow-Morton term structure model by Carl Chiarella & Oh Kang Kwon [Downloadable!] 2001 Applications of Malliavin calculus to Monte-Carlo methods in finance. II by Eric Fournié & Jean-Michel Lasry & Pierre-Louis Lions & Jérôme Lebuchoux [Downloadable!] 2001 Coherent risk measures and good-deal bounds by Stefan Jaschke & Uwe Küchler [Downloadable!] 2001 Information Content of Implied Probability Distributions: Empirical Studies of Japanese Stock Price Index Options by Shiratsuka, Shigenori [Downloadable!] 2001 A Fuzzy expert system for solving ReaL-Option decision processes by Magni, C. A. & Mastroleo G. & Facchinetti, G. 2001 A Model For Pricing An Option With A Fuzzy Payoff by Muzzioli, Silvia & Torricelli, Costanza 2001 Spanish stock market structure and the introduction of the derivate securities on the IBEX-35 index by José Emilio Farinós Viñas & Matilde Fernández Blanco [Downloadable!] 2000 Risk Premia and Financial Modelling Without Measure Transformation by Eckhard Platen [Downloadable!] 2000 Examining Intraday Returns with Buy/Sell Information by Shin-Juh Lin & Jian Yang [Downloadable!] 2000 An EVT Approach to calculating Risk Capital Requirements by Chris Brooks & Gita Persand & Andrew D. Clare [Downloadable!] 2000 Value at Risk and Market Crashes by Chris Brooks & Gita Persand [Downloadable!] 2000 Stochastic Volatility and Jumps Driven by Continuous Time Markov Chains by Kyriakos Chourdakis [Downloadable!] 2000 Option Pricing under Discrete Shifts in Stock Returns by Kyriakos Chourdakis & Elias Tzavalis [Downloadable!] 2000 Option Pricing with a Dividend General Equilibrium Model by Kyriakos Chourdakis & Elias Tzavalis [Downloadable!] 2000 Cephalon, Inc. Taking Risk Management Theory Seriously by George Chacko & Peter Tufano & Geoffrey Verter [Downloadable!] 2000 Nonparametric Risk Management and Implied Risk Aversion by Yacine Ait-Sahalia & Andrew W. Lo [Downloadable!] 2000 The Effectiveness of the FX Market Interventions of the Bundesbank During the Louvre Period: An Options-Based Analysis by Christian Pierdzioch [Downloadable!] 2000 Noise Traders'Trigger Rates, FX Options, and Smiles by Christian Pierdzioch [Downloadable!] 2000 Using Simulated Currency Rainbow Options to Evaluate Covariance Matrix Forecasts by Byström, Hans 2000 Stochastic Volatility and Pricing Bias in the Swedish OMX-Index Call Option Market by Byström , Hans [Downloadable!] 2000 The Hedging Performance of Electricity Futures on the Nordic Power Exchange Nord Pool by Byström , Hans 2000 On the construction of finite dimensional realizations for nonlinear forward rate models by Björk, Tomas & Landen, Camilla [Downloadable!] 2000 A Geometric View of Interest Rate Theory by Björk, Tomas [Downloadable!] 2000 On the Term Structure of Futures and Forward Prices by Björk, Tomas & Landen, Camilla [Downloadable!] 2000 Informed Trading, Short Sales Constraints, and Futures' Pricing by Hietala, Pekka & Jokivuolle, Esa & Koskinen, Yrjö [Downloadable!] 2000 Paying for minimum interest rate guarantees: Who should compensate who? by Jensen, Bjarne Astrup & Sørensen, Carsten [Downloadable!] 2000 Informed Trading, Short Sales Constraints and Futures' Pricing by Hietala, Pekka & Jokivuolle, Esa & Koskinen, Yrjö [Downloadable!] 2000 A Model for Estimating Recovery Rates and Collateral Haircuts for Bank Loans by Jokivuolle, Esa & Peura, Samu [Downloadable!] 2000 Estimating & Testing Fundamental Stock Prices: Evidence from Simulated Economies by Donaldson, R.G. & Kamstra, M. 2000 Coalition-Proof Implementation of Competitive Equilibria on a Constrained Reinsurance Market by Bernis, G. & Giraud, G. 2000 Relations intrajournalieres entre l'indice CAC 40 et les options sur indice. Quel est le marche prefere des investisseurs informes ? by Capelle-Blancard, G. & Vandelanoite, S. 2000 Empirical Assessment of an Intertemporal Option Pricing Model with Latent Variables by Garcia, R. & Luger, R. & Renault, E. 2000 Exponential Hedging and Pricing under Proportional Transaction Costs by Bouchard, B. 2000 Style Investing by Barberis, N. & Shleifer, A. 2000 Excessive Continuation and Dynamic Agency Costs of Debt by Decamps, J.-P. & Faure-Grimaud, A. 2000 On the Information Content of Futures Prices, Application to LME Nonferrous Metal Futures by MARTINOT, N. & Lesourd, J.-B. & Morard, B. 2000 Continuous-Time Methods in Finance: A Review and an Assessment by Sundaresan, S.M. 2000 An Options-Based Analysis of Emerging Market Exchange Rate Expectations: Brazil's Real Plan, 1994-1999 by Campa, J.M. & Chang, P.H.K. & Refalo, J.F. 2000 A Model for Estimating Recovery Rates and Collateral Haricuts for Bank Loans by Jokivuolle, E. & Peura, S. 2000 Reaching Equilibrium in the Capital Asset Pricing Model by Flam, S.D. 2000 Bayesian Option Pricing using Asymmetric Garch Models by Bauwens, L. & Lubrano, M. 2000 Gestion de portefeuille avec garantie: l'allocation optimale en actifs derives by Bertrand, P. & lesne, J.-P. & Prigent, J.-L. 2000 Uncertainty and Real Options. Investment and Development of Fishing Resources (II) by Arantza Murillas [Downloadable!] 2000 Uncertainty and Real Options. Investment and Development of Fishing Resources (I) by Arantza Murillas [Downloadable!] 2000 Options-based analysis of emerging market exchange rate expectations: Brazil's real plan, 1994-1999, An by Campa, Jose M. & Chang, Kevin & Refalo, James F. [Downloadable!] 2000 A Disturbance Attenuation Approach to Option Pricing with Transaction Costs by Lihui Zheng & Jin E. Zhang [Downloadable!] 2000 Recovery of Implied Volatility: An optimal control approach by Lishang Jiang & Qihong Chen & Lijun Wang & Jin E. Zhang [Downloadable!] 2000 The performance of multi-factor term structure models for pricing and hedging caps and swaptions by Driessen, J. & Klaassen, P. & Melenberg, B. [Downloadable!] 2000 Index option pricing models with stochastic volatility and stochastic interest rates by Jiang, G. & Sluis, P.J. van der [Downloadable!] 2000 Libor and swap market models for the pricing of interest rate derivatives : an empirical analysis by Jong, F. de & Driessen, J. & Pelsser, A. [Downloadable!] 2000 Hedging double barriers with singles by Sbuelz, A. [Downloadable!] 2000 Is leverage effective in increasing performance under managerial moral hazard? by Calcagno, R. [Downloadable!] 2000 The Government and Market Expectations by Guesnerie, R. 2000 The Government and Market Expectations by Guesnerie, R. 2000 An Options-Based Analysis of Emerging Market Exchange Rate Expectations: Brazil’s Real Plan, 1994-1999 by Campa, José Manuel & Chang, Kevin & Refalo, James F [Downloadable!] 2000 Excessive continuation and Dynamic Agency Costs of Debt by Décamps, Jean Paul & Faure-Grimaud, Antoine [Downloadable!] 2000 The Asian Financial Crisis: The Role of Derivative Securities Trading and Foreign Investors by Eric Ghysels & Junghoon Seon [Downloadable!] 2000 A Tree Implementation of a Credit Spread Model for Credit Derivatives by Philipp J. Schönbucher [Downloadable!] 2000 Factor Models for Portofolio Credit Risk by Philipp J. Schönbucher [Downloadable!] 2000 A Libor Market Model with Default Risk by Philipp J. Schönbucher [Downloadable!] 2000 The Term Structure of Implied Volatility by Alan L. Lewis [Downloadable!] 2000 The Fundamental Transform (Excerpt) by Alan L. Lewis [Downloadable!] 2000 Introduction and Summary of Results (Excerpt) by Alan L. Lewis [Downloadable!] 2000 Option Valuation under Stochastic Volatility by Alan L. Lewis 2000 research articles : Local martingales, arbitrage, and viability by Mark Loewenstein & Gregory A. Willard [Downloadable!] 2000 Game options by Yuri Kifer [Downloadable!] 2000 A simple regime switching term structure model by Asbjørn T. Hansen & Rolf Poulsen [Downloadable!] 2000 Markov-functional interest rate models by Joanne Kennedy & Phil Hunt & Antoon Pelsser [Downloadable!] 2000 Bond pricing in a hidden Markov model of the short rate by Camilla LandÊn [Downloadable!] 2000 Robustness of the Black-Scholes approach in the case of options on several assets by Tiziano Vargiolu & Silvia Romagnoli [Downloadable!] 2000 Options on a traded account: Vacation calls, vacation puts and passport options by Steven E. Shreve & Jan Vecer [Downloadable!] 2000 Incompleteness of markets driven by a mixed diffusion by N. Bellamy & M. Jeanblanc [Downloadable!] 2000 Discrete time option pricing with flexible volatility estimation by Christian M. Hafner & Wolfgang HÄrdle [Downloadable!] 2000 Superreplication in stochastic volatility models and optimal stopping by RØdiger Frey [Downloadable!] 2000 Efficient hedging: Cost versus shortfall risk by Hans FÃllmer & Peter Leukert [Downloadable!] 2000 Pricing double barrier options using Laplace transforms by Antoon Pelsser [Downloadable!] 2000 Convergence of discrete time option pricing models under stochastic interest rates by O. Scaillet & J.-L. Prigent & J.-P. Lesne [Downloadable!] 2000 Local time, coupling and the passport option by Vicky Henderson & David Hobson [Downloadable!] 2000 A correction note on the first passage time of an Ornstein-Uhlenbeck process to a boundary by O. Renault & O. Scaillet & B. Leblanc [Downloadable!] 2000 Comment on `Pricing double barrier options using Laplace transforms' by Antoon Pelsser by C.H. Hui & P.H. Yuen & C.F. Lo [Downloadable!] 2000 Opciones de Suscripción de Acciones Stock Rights by Patricia Jurfest & Salvador Zurita [Downloadable!] 2000 Water Management in France: Delegation and Irreversibility by Ephraim Clark & Gérard Mondello [Downloadable!] 1999 Digital Contracts: Simple Tools for Pricing Complex Derivatives by Jonathan E. Ingersoll Jr. [Downloadable!] 1999 Do Call Prices and the Underlying Stock Always Move in the Same Direction? by Charles Quanwei Cao & Gurdip S. Bakshi & Zhiwu Chen [Downloadable!] 1999 Utility based pricing of contingent claims by A. Gamba & P. Pellizzari [Downloadable!] 1999 Credit Enhancement through Financial Engineering: Freeport-McMoRan's Gold-Denominated Depository Shares by N. K. Chidambaran & Chitru S. Fernando & Paul A. Spindt [Downloadable!] 1999 On the Log-Return Distribution of Index Benchmarked Share Prices by Eckhard Platen 1999 A Minimal Share Market Model with Stochastic Volatility by Eckhard Platen 1999 Local Volatility Changes in the Black-Scholes Model by Hans Peter Bermin & Arturo Kohatsu [Downloadable!] 1999 A Structural Model of the Term Structure of Credit Spreads with Stochastic Recovery and Contractual Design by Hugues Pirotte [Downloadable!] 1999 Implementing a Structural Valuation Model of Swap Credit-Sensitive Rates by Hugues Pirotte [Downloadable!] 1999 Return-Volume Dynamics in UK Futures by David McMillan & Alan Speight 1999 Australian Banking Risk: The Stock Market's Assessment and the Relationship Between Capital and Asset Volatility by Marianne Gizycki & Brenton Goldsworthy [Downloadable!] 1999 Innovation and Market Value by Hall, B.H. 1999 Predicting monetary policy using federal funds future prices by Söderström, Ulf [Downloadable!] 1999 On the Existence of Finite Dimensional Realizations for Nonlinear Forward Rate Models by Björk, Tomas & Svensson, Lars [Downloadable!] 1999 A Note on Contingent Claims Pricing with Non-Traded Assets by Ericsson, Jan & Reneby, Joel [Downloadable!] 1999 Predicting monetary policy using federal funds futures prices by Söderström, Ulf [Downloadable!] 1999 Die Berechnung von Passport-Optionen mit Finiten Elementen by Topper, Jürgen [Downloadable!] 1999 Minute-by-Minute Dynamics of the Australian Bond Futures Market in Response to New Macroeconomic Information by Kim, S.-J. & Sheen, J. 1999 Pricing Foreign Currency and Cross-Currency Options Under GARCH by Wei, J.Z. & Duan, J.C. 1999 Pricing Foreign Currency and Cross-Currency Options Under GARCH by Wei, J.Z. & Duan, J.C. 1999 Empirical Tests of an Option Price Inversion Approach by McIntyre, M. 1999 Empirical Tests of an Option Price Inversion Approach by McIntyre, M. 1999 Une application de la formule de Jarrow et Rudd aux options sur indice CAC 40 by Capelle-Blancard, G. & Jurczenko, E. 1999 Une application de la formule de Jarrow et Rudd aux options sur indice CAC 40 by Capelle-Blancard, G. & Jurczenko, E. 1999 The Interest Rate/FX Arbitrage Under Peg Regime: a Duffie Singleton Approach by Aspandilarov, S. & Bottazzi, J.-M. 1999 The Interest Rate/FX Arbitrage Under Peg Regime: a Duffie Singleton Approach by Aspandilarov, S. & Bottazzi, J.-M. 1999 On the Different Notions of Arbitrage and Existence of Equilibrium by Dana, R.-A. & Le Van, C. & Magnien, F. 1999 On the Different Notions of Arbitrage and Existence of Equilibrium by Dana, R.-A. & Le Van, C. & Magnien, F. 1999 An Autoregressive Conditional Binomial Option Pricing Model by Prigent, J.-L. & Renault, O. & Scaillet, O. 1999 An Autoregressive Conditional Binomial Option Pricing Model by Prigent, J.-L. & Renault, O. & Scaillet, O. 1999 Option Pricing with Discrete Rebalancing by Prigent, J.-L. & Renault, O. & Scaillet, O. 1999 Option Pricing with Discrete Rebalancing by Prigent, J.-L. & Renault, O. & Scaillet, O. 1999 Distributions implicites anormales des taux de change by Frachot, A. & Laurent, J.P. & Pichot, O. 1999 Building a Consistent Pricing Model from Observed Option Prices by Laurent, J.-P. & Leisen, D. 1999 Variance Optimal Cap Pricing Models by Laurent, J.-P. & Scaillet, O. 1999 Evolution of Market Uncertainty around Earnings Announcements by Isakov, D. & Perignon, C. 1999 The Behaviour of Stock Prices in the GCC Markets by Dahel, R. & Laabas, B. 1999 Speculating on a Cure of Cander: A Non-Event that Made Stock Prices Soar by Huberman, G. & Regev, T. 1999 Speculating on a Cure of Cander: A Non-Event that Made Stock Prices Soar by Huberman, G. & Regev, T. 1999 Estimating Gram-Charlier Expansions with Positivity Constraints by Jondeau, E. & Rockinger, M. 1999 Prevision des prix a terme du cacao et modeles ARMA non-lineaires by Bolgot, S. & Terraza, M. 1999 A Semiparametric Estimation of Liquidity Effects on Option Pricing by Eva Ferreira & Monica Gago & Gonzalo Rubio [Downloadable!] 1999 The Development of the State Bond Market by Ivanter Alexander & Peresetsky Anatoly [Downloadable!] 1999 Arithmetic Asian Options with Continuous Sampling by Jin E. Zhang [Downloadable!] 1999 Optimal Bidding and Contracting Strategies in Supply Chains for Non-storable Goods by D.J. WU & Paul R. Kleindorfer & Jin E. Zhang [Downloadable!] 1999 A New Default Swap Valuation Formula by Wai-Yan Cheng [Downloadable!] 1999 Option Pricing with Discrete Rebalancing by Prigent, J.-L. & Renault, O. & Scaillet, O. [Downloadable!] 1999 Asymmetries of information in centralized order-driven markets by Boccard, N. & Calcagno, R. [Downloadable!] 1999 UDROP: A Small Contribution to the New International Financial Architecture by Buiter, Willem H & Sibert, Anne [Downloadable!] 1999 A New Class of Stochastic Volatility Models with Jumps: Theory and Estimation by Mikhail Chernov & A. Ronald Gallant & Eric Ghysels & George Tauchen [Downloadable!] 1999 The Valuation of Volatility Options by Jérôme B. Detemple & Carlton Osakwe [Downloadable!] 1999 The Pricing of Derivatives on Assets with Quadratic Volatility by Christian Zuehlsdorff [Downloadable!] 1999 Valuation of Barrier Options in a Black--Scholes Setup with Jump Risk by Dietmar P.J. Leisen [Downloadable!] 1999 Robustness of Gaussian Hedges and the Hedging of Fixed Income Derivatives by Dudenhausen, Antje & Erik Schloegl & Lutz Schloegl [Downloadable!] 1999 Pricing Interest Rate Derivatives in a Non-Parametric Two-Factor Term-Structure Model by Knight, John & Li, Fuchun & Yuan, Mingwei [Downloadable!] 1999 Alternative solutions of the black-sholes equation by Hortensia Fontanals Albiol & Ramon Lacayo & Josep Vives 1999 Some recent developments in capital market theory: A survey by Richard C. Stapleton [Downloadable!] 1999 On dynamic measures of risk by Ioannis Karatzas & Jaksa Cvitanic [Downloadable!] 1999 Minimal realizations of interest rate models by Tomas BjÃrk & Andrea Gombani [Downloadable!] 1999 Applications of Malliavin calculus to Monte Carlo methods in finance by Eric Fournié & Jean-Michel Lasry & Pierre-Louis Lions & Jérôme Lebuchoux & Nizar Touzi [Downloadable!] 1999 Convergence of strategies: An approach using Clark-Haussmann's formula by Jan Pedersen [Downloadable!] 1999 Exercise regions of American options on several assets by Stephane Villeneuve [Downloadable!] 1999 Quantile hedging by Hans FÃllmer & Peter Leukert [Downloadable!] 1999 Connecting discrete and continuous path-dependent options by Paul Glasserman & S.G. Kou & Mark Broadie [Downloadable!] 1999 A closed-form solution to the problem of super-replication under transaction costs by HuyËn Pham & Nizar Touzi & Jaksa Cvitanic [Downloadable!] 1999 Market Price Analysis and Risk Management for Convertible Bonds by Ohtake, Fuminobu & Oda, Nobuyuki & Yoshiba, Toshinao [Downloadable!] 1999 Extracting Market Expectations from Option Prices: Case Studies in Japanese Option Markets by Nakamura, Hisashi & Shiratsuka, Shigenori [Downloadable!] 1998 Pricing and Hedging Long-Term Options by Charles Quanwei Cao & Gurdip S. Bakshi & Zhiwu Chen [Downloadable!] 1998 Do Brokers Misallocate Customer Trades? Evidence From Futures Markets by Hun Y. Park & Asani Sarkar & Lifan Wu [Downloadable!] 1998 How Well Do Classical Credit Risk Pricing Models Fit Swap Transaction Data? by Hugues Pirotte & Didier Cossin [Downloadable!] 1998 Temporal Aggregation, Volatiilty Components and Volume in HIgh Frequency UK Bond Futures by David G McMillan & Alan EH Speight 1998 Is after-hours trading informative? by Ulibarri, Carlos A. [Downloadable!] 1998 Optimal Investment, Growth Options, and Security Returns by Jonathan Berk & Richard C. Green & Vasant Naik [Downloadable!] 1998 Variance Decomposition of Stock Returns and Dividend Imputation System by Wu, P.X. 1998 Finite Element Modelling of Exotic Options by Topper, Jürgen [Downloadable!] 1998 Estimating the Equity Risk Premium and Equity Costs: New Ways of Looking at Old Data by Booth, L. 1998 Estimating the Equity Risk Premium and Equity Costs: New Ways of Looking at Old Data by Booth, L. 1998 Convergence of Discrete Time Option Pricing Models Under Stochastic Interest Rates by Lesne, J.-P. & Prigent, J.-L. & Scaillet, O. 1998 The Econometrics of Efficient Frontiers by Gourieroux, C. & Monfort, A. 1998 Efficient Trading Strategies in the Presence of Market Frictions by Jouini, E. & Kallal, H. 1998 Continuous Time Equilibrium Pricing of Nonredundant Assets by Jouini, E. & Napp, C. 1998 Arbitrage and Investment Opportunities by Jouini, E. & Napp, C. 1998 Arbitrage Pricing of Derivatives with Bounds on the Underlying Securities by Jouini, E. & Kallal, H. & Napp, C. 1998 Can Small Fluctuations in Investors' Subjective Preferences Induce Large Volatility in Equity Prices? by Mehra, R. & Sah, R. 1998 Reading Interest Rate and Bond Futures Options' Smiles: How PIBOR and National Operators Appreciated the 1997 French Snap Election by Coutant, S. & Jondeau, E. & Rockinger, M. 1998 A Comparative Study of Structural Models of Corporate Bond Yields: An Exploratory Investigation by Anderson, Ronald & Sundaresan, Suresh [Downloadable!] 1998 Direct Estimation of the Risk Neutral Factor Dynamics of Affine Term Structure Models by Bams, Dennis & Schotman, Peter C [Downloadable!] 1998 Reading Interest Rate and Bond Futures Options' Smiles Around the 1997 French Snap Election by Coutant, Sophie & Jondeau, Eric & Rockinger, Michael [Downloadable!] 1998 Extracting Expectations about 1992 UK Monetary Policy from Option Prices by Söderlind, Paul [Downloadable!] 1998 What Data Should Be Used to Price Options? by Mikhail Chernov & Eric Ghysels [Downloadable!] 1998 Why Is the Bid Price Greater than the Ask? Price Discovery during the Nasdaq Pre-Opening by Charles Cao & Eric Ghysels & Frank Hatheway [Downloadable!] 1998 Building a Consistent Pricing Model from Observed Option Prices by Laurent, Jean-Paul & Dietmar P.J. Leisen [Downloadable!] 1998 Pseudo--Arbitrage - A new Approach to Pricing and Hedging in Incomplete Markets by Daniel Sommer [Downloadable!] 1998 Asian Exchange Rate Options under Stochastic Interest Rates: Pricing as a Sum of Delayed Payment Options by Nielsen, J.A. & Sandmann, K. [Downloadable!] 1998 Estimating Gram-Charlier Expansions with Positivity Constraints by Jondeau, E. & Rockinger, M. [Downloadable!] 1998 Reading Interest Rate and Bond Futures Options' Smiles: How PIBOR and National Operators Appreciated the 1997 French Snap Election by Coutant, S. & Jondeau, E. & Rockinger, M. [Downloadable!] 1998 Dynamics of the term structure on interest rates: a two-factor model by Hortensia Fontanals Albiol & Merche Galisteo & Lourdes Gomez del Valle 1998 Lévy processes in finance: a remedy to the non-stationarity of continuous martingales by Marc Yor & Boris Leblanc [Downloadable!] 1998 Option pricing with transaction costs and a nonlinear Black-Scholes equation by Halil Mete Soner & Guy Barles [Downloadable!] 1998 Path dependent options on yields in the affine term structure model by Olivier Scaillet & Boris Leblanc [Downloadable!] 1998 Robust hedging of the lookback option by David G. Hobson [Downloadable!] 1998 Functional convergence of Snell envelopes: Applications to American options approximations by Maurizio Pratelli & Sabrina Mulinacci [Downloadable!] 1998 Implied interest rate pricing models by J.E. Kennedy & P.J. Hunt [Downloadable!] 1998 Local martingales and the fundamental asset pricing theorems in the discrete-time case by J. Jacod & A.N. Shiryaev [Downloadable!] 1998 Hedging American contingent claims with constrained portfolios by Ioannis Karatzas & (*), S. G. Kou [Downloadable!] 1998 Volatility of the short rate in the rational lognormal model by Lisa R. Goldberg [Downloadable!] 1998 Perfect option hedging for a large trader by RØdiger Frey [Downloadable!] 1997 Empirical Performance of Alternative Option Pricing Models by Charles Quanwei Cao & Gurdip S. Bakshi & Zhiwu Chen [Downloadable!] 1997 PSA Duration: Conquering the Prepayment Risk of Mortgage Portfolios by Boleslav Gulko [Downloadable!] 1997 Empirical Performance of Alternative Option Pricing Models by Charles Quanwei Cao & Gurdip S. Bakshi & Zhiwu Chen [Downloadable!] 1997 No-Arbitrage Bounds on Contingent Claims Prices with Convex Constraints on the Dollar Investments of the Hedge Portfolio by Claus Munk [Downloadable!] 1997 The Random-Time Binomial Model by Dietmar P.J. Leisen [Downloadable!] 1997 Options on a Stock with Market-Dependent Volatility by J. Chalupa [Downloadable!] 1997 The Random Yield Curve and Interest Rate Options by Meifang Chu [Downloadable!] 1997 Multifactor Generalization of "Discount-Bond Derivatives on a Recombining Binomial Tree" by J. Chalupa [Downloadable!] 1997 Discount-Bond Derivatives on a Recombining Binomial Tree by J. Chalupa [Downloadable!] 1997 On the Relevance of Modeling Volatility for Pricing Purposes by Manuel Moreno [Downloadable!] 1997 Looking for Spot in the Presence of Futures by Krishna Ramaswamy & Patrick Waldron 1997 Swap Credit Risk: An Empirical Investigation on Transaction Data by Hugues Pirotte & Didier Cossin [Downloadable!] 1997 The Volatility Smile and Yield Curve: Probability Densities Implicit in ERM/$ Options by Bruce Mizrach 1997 Equilibrium Valuation of Options on the Market Portfolio with Stochastic Volatility and Return Predictability by Melanie Cao 1997 Pricing and Hedging Derivative Securities in Incomplete Markets: An E-Aritrage Model by Dimitris Bertsimas & Leonid Kogan & Andrew W. Lo [Downloadable!] 1997 Optimal Risk Management Using Options by Dong-Hyun Ahn & Jacob Boudoukh & Matthew Richardson & Robert F. Whitelaw [Downloadable!] 1997 The Forecasting Ability of Correlations Implied in Foreign Exchange Options by Jose M. Campa & P. H. Kevin Chang [Downloadable!] 1997 Heterogeneous Information Arrival and Option Pricing by Patrick K. Asea & Mthuli Ncube [Downloadable!] 1997 An Efficient Generalized Discrete-Time Approach to Poisson-Gaussian Bond Option Pricing in the Heath-Jarrow-Morton Model by Sanjiv Ranjan Das [Downloadable!] 1997 The Significance of the Market Portfolio by Stefano Athanasoulis & Robert J. Shiller [Downloadable!] 1997 Bayesian Arbitrage Threshold Analysis by Forbes, C.S. & Kalb, G.R.J. & Kofman, P. 1997 Quarterly Earnings Announcements and the Lead/Lag Relationship between the Stock and Option Markets by Itzhak Krinsky & Jason Lee 1997 Market Expectations in the UK Before and After the ERM Crisis by Söderlind, Paul 1997 Minimal Realizations of Forward Rates by Björk, Tomas & Gombani, Andrea [Downloadable!] 1997 Option Pricing with a General Market Point Process by Prigent, J.L. 1997 Incomplete Markets: Convergence of Options Values under the Minimal Martingale Measure. The Multidimensional Case by Prigent, J.L. 1997 Convergence of Discrete Time Options Pricing Models under Stochastic Rates by Lesne, J.P. & Prigent, J.L. & Scaillet, O. 1997 An Equilibrium Model with Restricted Stock Market Participation by Basak, S & Cuoco, D 1997 Couts de transaction, contraintes de vente a decouvert et taxes: une approche unifiee by Carassus, L. & Jouini, E. 1997 Econometric Specification of the Risk Neutral Valuation Model by Clement, E. & Gourieroux, C. & Monfort, A. 1997 The Cross Section of Common Stock Returns: A Review of the Evidence and Some New Findings by Hawawini, G. & Keim, D.B. 1997 Pricing the Gamble for Resurrection and the Consequences of Renegotiation and Debt Design by Decamps, J.-P. & Faure-Grimaud, A. 1997 How Efficient Markets Undervalue Stocks: CAPM and ECMH Under Conditions of Uncertainty and Disagreement by Stout, L.A. 1997 Etude des effets de l'introduction d'option sur le marche des action sous-jacentes, exemen empirique sur la Soffex by Perignon, C. 1997 Is Beta Still Alive? Conclusive Evidence from the Swiss Stock market by Isakov, D. 1997 Foreign Ownership Restrictions and Equity price Premiums: Explaining the High Cost of International Diversification by Bailey, W. & Peter, C.Y. & Jun-Koo, K. 1997 Asymmetric Price Distribution and Bid-Ask Quotes in the stock options Market by Chan, K. & Peter, C.Y. 1997 Bayesian Option Pricing Using Asymmetric GARCH by Bauwens, L. & Lubrano, M. 1997 A Decision Theoretic Approach to Bid-Ask Spreads by Kast, R. & Lapied, A. 1997 The price and volatility effects of stock option introductions : a reexamination by Kabir, R. [Downloadable!] 1997 Variance Optimal Cap Pricing Models by Laurent, J.P. & Scaillet, O. [Downloadable!] 1997 Convergence of Discrete Time Option Pricing Models under Stochastic Interest Rates by Lesne, J.-P. & Prigent, J.-L. & Scaillet, O. [Downloadable!] 1997 Multiregime Term Structure Models by GouriŽroux, C. & Scaillet, O. [Downloadable!] 1997 Debt Valuation and Marketability Risk by Tychon, Pierre & Vannetelbosch, Vincent J. [Downloadable!] 1997 Optimal Determination of Bookmakers' Betting Odds: Theory and Tests by Fingleton, John & Waldron, Patrick [Downloadable!] 1997 New Techniques to Extract Market Expectations from Financial Instruments by Söderlind, Paul & Svensson, Lars E O [Downloadable!] 1997 Manipulation of Metals Futures: Lessons from Sumitomo by Gilbert, Christopher L [Downloadable!] 1997 Nonparametric Methods and Option Pricing by Eric Ghysels & Valentin Patilea & Éric Renault & Olivier Torrès [Downloadable!] 1997 Derivative Asset Analysis in Models with Level-Dependent and Stochastic Volatility by Frey, Rüdiger [Downloadable!] 1997 The Random-Time Binomial Model by Leisen, Dietmar [Downloadable!] 1997 Pricing and Hedging of Contingent Claims in Term Structure Models with Exogenous Issuing of New Bonds by Sommer, Daniel 1997 A Tractable Term Structure Model with Endogenous Interpolation and Positive Interest Rates by Schloegl, Erik & Lutz Schloegl [Downloadable!] 1997 Factor Models and the Shape of the Term Structure by Schloegl, Erik & Daniel Sommer [Downloadable!] 1997 A variational approach for pricing options and corporate bonds by Jean-Charles Rochet & Jean-Paul DÊcamps 1997 Fast accurate binomial pricing by L.C.G. Rogers & E.J. Stapleton [Downloadable!] 1997 A note on the forward measure by Mark Davis [Downloadable!] 1997 A note on pricing interest rate derivatives when forward LIBOR rates are lognormal by Beniamin Goldys [Downloadable!] 1997 Option pricing in the presence of natural boundaries and a quadratic diffusion term (*) by Sven Rady [Downloadable!] 1997 LIBOR and swap market models and measures (*) by Farshid Jamshidian [Downloadable!] 1997 A note on the existence of unique equivalent martingale measures in a Markovian setting by Tina Hviid Rydberg [Downloadable!] 1997 On Leland's strategy of option pricing with transactions costs by Yuri M. Kabanov & (*), Mher M. Safarian [Downloadable!] 1997 Weighted norm inequalities and hedging in incomplete markets by Martin Schweizer & Christophe Stricker & Freddy Delbaen & Pascale Monat & Walter Schachermayer [Downloadable!] 1997 On the range of options prices (*) by Ernst Eberlein & Jean Jacod [Downloadable!] 1996 Equilibrium Valuation of Foreign Exchange Claims by Gurdip S. Bakshi & Zhiwu Chen [Downloadable!] 1996 An Alternative Valuation Model for Contingent Claims by Gurdip S. Bakshi & Zhiwu Chen [Downloadable!] 1996 The Pricing of Foreign Currency Futures Options by Chang Mo Ahn [Downloadable!] 1996 Equilibrium Valuation of Foreign Exchange Claims by Gurdip S. Bakshi & Zhiwu Chen [Downloadable!] 1996 Randomization and the American Put by Peter Carr [Downloadable!] 1996 Option Valuation and the Price of Risk by John Chalupa [Downloadable!] 1996 Improving Value-At-Risk Estimates By Combining Kernel Estimation With Historical Simulation by J. S. Butler & Barry Schachter [Downloadable!] 1996 Bootstrap Results From the State Space From Representation of the Heath-Jarrow-Morton Model by Ram Bhar & Carl Chiarella [Downloadable!] 1996 A Two-Mean Reverting-Factor Model of the Term Structure of Interest Rates by Manuel Moreno [Downloadable!] 1996 Optimal Regulation of a Fully Insured Deposit Banking System by Xavier Freixas & Emmanuelle Gabillon [Downloadable!] 1996 Optimal Determination of Bookmakers' Betting Odds: Theory and Tests by John Fingleton & Patrick Waldron 1996 Did Option Prices Predict the ERM Crises? by Bruce Mizrach 1996 Markets with endogenous uncertainty: theory and policy by Chichilnisky, Graciela [Downloadable!] 1996 Implied Volatility Functions: Empirical Tests by Bernard Dumas & Jeff Fleming & Robert E. Whaley [Downloadable!] 1996 Institutional Holdings and Trading Volume Reactions to Quarterly Earnings Announcements by J.B. Kim & I. Krinsky & J. Lee 1996 Towards a General Theory of Bond Markets by Björk, Tomas & di Masi, Giovanni & Kabanov, Yuri & Runggaldier, Wolfgang [Downloadable!] 1996 New Techniques to Extract Market expectations from Financial Instruments by Söderlind, Paul & Svensson, Lars E.O. 1996 Stock Options as Barrier Contingent Claims by Ericsson, Jan & Reneby, Joel [Downloadable!] 1996 Interest Rate Theory - CIME Lectures 1996 by Björk, Tomas 1996 Diversified Portfolios in Continuous Time by Björk, Tomas & Näslund, Bertil [Downloadable!] 1996 The Short Term Price Performance of Initial Public Offerings of Common Stock: Australia 1991-1994 by Kearney, C. & Sadeghi, M. 1996 Volatility in the Nikkei Stock Market Index; Causes and International Transmission by Kearney, C. & Kelly, B. 1996 Market Risk, Corporate Governance & the Regulation of Financial Firms by Casson, P. 1996 EU Capital Requirements and the Level Playing Field by Dale, R. & Wolfe, S. 1996 Approximating the Asset Pricing Kernel by Chapman, D.A. 1996 A Market-Based Evaluation of Discretionary-Accrual Models by Guay, W. & Kothari, S.P. & Watts, R.L. 1996 The Analysis of VAR, Deltas and State Prices: A New Approach by Grundy, B.D. & Wiener, Z. 1996 The Stability of ARCH Models Across Australian Financial Markets by Lee, J. & Brooks, R. 1996 The Impact of the Return Interval on The estimation of Systematic Risk in Australia by Jesev, T. & Brailsford, T. 1996 Forecasting the S&P500: A Disequilibrium Indicator by Davidson, S. & Meyer, S. 1996 Further Evidence on the Relationship between Beta Stability and the length of the Estimation Period by Faff, R. & Brooks, R. 1996 Arbitrage-Based Pricing When Volatility is Stochastic by Bossaerts, P. & Ghysels, E. & Gourieroux, C. 1996 Developpement limite d'une diffusion en temps petit. Estimation du prix d'une option sur maxima proche de sa maturite by Corbin, O. & Leblanc, B. 1996 A P.D.E. Approach to Asian Options: Analytical and Numerical Evidence by Alziary, B. & Decamps, J-P. & Koehl, P-F. 1996 Do Noise Traders Influence Stock Prices by Kelly, M. 1996 Pricing American-Style Securities Using Simulation by Broadie, M. & Glasserman, P. 1996 Settlement, Tax and Non-Synchronous Effects in the Basis of U.K. Stock Index Futures by Theobald, M. & Yallup, P. 1996 Intraday lead-lag relationships between the futures-, options and stock market by Jong, F. de & Donders, M.W.M. [Downloadable!] 1996 Numerical analysis of strategic contingent claims models by Anderson, Ronald W. & Tu, Cheng [Downloadable!] 1996 Default risk in asset pricing by Mella-Baral, Pierre & Tychon, Pierre [Downloadable!] 1996 Implied Volatility Functions: Empirical Tests by Dumas, Bernard J & Fleming, Jeff & Whaley, Robert E [Downloadable!] 1996 American Options with Stochastic Dividends and Volatility: A Nonparametric Investigation by Mark Broadie & Jérôme B. Detemple & Eric Ghysels & Olivier Torrès [Downloadable!] 1996 Nonparametric Estimation of American Options Exercise Boundaries and Call Prices by Mark Broadie & Jérôme B. Detemple & Eric Ghysels & Olivier Torrès [Downloadable!] 1996 Arbitrage Based Pricing When Volatility Is Stochastic by Peter Bossaert & Eric Ghysels & Christian Gouriéroux [Downloadable!] 1996 The Timing of Arbitrage: An Option Approach by Lambrecht, B. 1996 Lognormality of Rates and Term Structure Models by Goldys, B. & M. Musiela & D. Sondermann [Downloadable!] 1996 The Term Structure of Defaultable Bond Prices by Schönbucher, Philipp J. [Downloadable!] 1996 Continuous-Time Term Structure Models by Musiela, Marek & Marek Rutkowski [Downloadable!] 1996 The Pricing and Hedging of Options in Finitely Elastic Markets by Frey, Rüdiger [Downloadable!] 1996 Pricing the American Put Option: A Detailed Convergence Analysis for Binomial Models by Leisen, Dietmar [Downloadable!] 1996 Derivatives Activity at Troubled Banks by Joe Peek & Eric S. Rosengren [Downloadable!] 1996 Endogenous uncertainty in a general equilibrium model with price contingent contracts (*) by Ho-Mou Wu & Mordecai Kurz 1996 On a general class of one-factor models for the term structure of interest rates (*) by W.M. Schmidt [Downloadable!] 1995 Imperfect Information, Money and Economic Growth by Ho, W.H. 1995 Nonparametric Estimation of State-Price Densities Implicit in Financial Asset Prices by Yacine Ait-Sahalia & Andrew W. Lo [Downloadable!] 1995 Testing Option Pricing Models by David S. Bates [Downloadable!] 1995 Banks and Derivatives by Gary Gorton & Richard Rosen [Downloadable!] 1995 A Nonparametric Approach to Pricing and Hedging Derivative Securities Via Learning Networks by James M. Hutchinson & Andrew W. Lo & Tomaso Poggio [Downloadable!] 1995 A Framework for Valuing Corporate Securities by Ericsson, Jan & Reneby, Joel [Downloadable!] 1995 Bond markets where prices are driven by a general marked point process by Björk, T. & Kabanov, Y. & Runggaldier, W. [Downloadable!] 1995 The Determination of Stock Market Volatility and Its International Transmission by Kearney, C. 1995 Imperfect Information, Money and Economic Growth by Ho, W.H. 1995 Do Managed Futures Make Good Investments? by Edwards, F.R. & Park, J.M. 1995 Mutual Funds and Financial Stability by Edwards, F.R. 1995 Derivatives and the Efficient Allocation of Price Risks in a General Equilibrium World by Heal, G. 1995 Separation and Hedging Results with State-Contingent Production by Chambers, R.G. & Quiggin, J. 1995 Altruism and Determinacy of Equilibria in Overlapping Generations Models with Externalities by Venditti, A. 1995 Discrete Time Option Pricing with Bid-Ask Spreads by Kast, R. & Lapied, A. 1995 Estimation of Continuous Time Models for Stock Returns and Interest Rates by Tauchen, George E. & Gallant, A. Ronald 1995 Specification Analysis of Continuous Time Models in Finance by Gallant, A. Ronald & Tauchen, George E. 1995 Approximation Pricing and the Variance-Optimal Martingale Measure by Schweizer, Martin 1995 Convergence of Option Values under Incompleteness by Runggaldier, Wolfgang J. & Martin Schweizer 1995 Uniqueness of the Fair Premium for Equity-Linked Life Insurance Contracts by Nielsen, J. Aase & Klaus Sandmann [Downloadable!] 1995 The Pricing of Asian Options under Stochastic Interest Rates by Nielsen, J. A. & K. Sandmann [Downloadable!] 1995 Market Volatility and Feedback Effects from Dynamic Hedging by Frey, Rüdiger & Alexander Stremme [Downloadable!] 1995 Binomial Models for Option Valuation - Examining and Improving Convergence by Leisen, D. P. J. & M. Reimer [Downloadable!] 1995 A Systematic Approach to Pricing and Hedging of International Derivatives with Interest-Rate Risk by Frey, Rüdiger & Daniel Sommer [Downloadable!] 1995 Equity-linked life insurance - a model with stochastic interest rates by Nielsen, J. Aase & Klaus Sandmann [Downloadable!] 1995 A Discrete Time Approach for European and American Barrier Options by K. Sandmann & Reimer, M. [Downloadable!] 1995 The Direct Approach to Debt Option Pricing by K. Sandmann & Sandmann, K. [Downloadable!] 1994 Contingent Claims Valued And Hedged By Pricing And Investing In A Basis by Frank Milne & Dilip Madan [Downloadable!] 1994 Implementing Option Pricing Models When Asset Returns Are Predictable by Andrew W. Lo & Jiang Wang [Downloadable!] 1994 The Valuation of American Options on Multiple Assets by Mark Broadie & Jérôme B. Detemple [Downloadable!] 1994 American Option Valuation: New Bounds, Approximations, and a Comparison of Existing Methods by Mark Broadie & Jérôme B. Detemple [Downloadable!] 1994 American Capped Call Options on Dividend Paying Assets by Mark Broadie & Jérôme B. Detemple [Downloadable!] 1994 Closed Form Solutions for Term Structure Derivatives with Log-Normal Interest Rates by Miltersen, K. & K. Sandmann & D. Sondermann [Downloadable!] 1994 On Smile and Skewness by Platen, Eckhard & Martin Schweizer 1994 Optional decomposition of supermartingales and hedging contingent claims in incomplete security markets by Kramkov, D.O. [Downloadable!] 1994 On Short Rate Processes and Their Implications for Term Structure Movements by Schlögl, Erik & Daniel Sommer [Downloadable!] 1994 Closed Form Term Structure Derivatives in a Heath-Jarrow- Morton Model with Log-Normal Annually Compounded Interest Rates by D. Sondermann & K. Miltersen [Downloadable!] 1994 Closed form representations for the minimal hedging portfolios of American type contingent claims by A. N. Vishnyakov & Kramkov, D.O. 1994 On the Approximation of Random Variables by Stochastic Integrals with Respect to Semimartingales by Christopeit, Norbert 1994 On the Stability of Log-Normal Interest Rate Models and the Pricing of Eurodollar Futures by D. Sondermann & Sandmann, K. [Downloadable!] 1993 Jumps and Stochastic Volatility: Exchange Rate Processes Implicit in thePHLX Deutschemark Options by David S. Bates [Downloadable!] 1993 Realignment Risk and Currency Option Pricing in Target Zones by Bernard Dumas & L. Peter Jennergren & Bertil Naslund [Downloadable!] 1993 The Present Value Model of Rational Commodity Pricing by Robert S. Pindyck [Downloadable!] 1993 Measuring Asset Values for Cash Settlement in Derivative Markets: Hedonic Repeated Measures indices and Perpetual Futures by Robert J. Shiller [Downloadable!] 1993 Optimal Hedging under Forward-Looking Behavior by Sergio H. Lence & Dermot J. Hayes [Downloadable!] 1993 A Term Structure Model and the Pricing of Interest Rate Derivative by K. Sandmann & Sondermann, D. [Downloadable!] 1993 On the use of the Black & Scholes model in a stochastic interest rate economy by Krister Rindell [Downloadable!] 1992 Unit root behavior in energy futures prices by Serletis, Apostolos [Downloadable!] 1992 Existence and optimality of equilibria in markets with tradeable derivative securities by Henrotte,Philippe 1992 On the behaviour of the Finnish stock index options markets by Vesa Puttonen [Downloadable!] 1991 Option Pricing With V. G. Martingale Components by Frank Milne & Dilip Madan [Downloadable!] 1990 The Multinomial Option Pricing Model and Its Brownian and Poisson Limits by Frank Milne & Dilip Madan & Hersh Shefrin [Downloadable!] 1990 The Pricing Mechanism of Primary Commodities since the 1970s by Kuchiki, Akifumi [Downloadable!] 1989 Minimum Chi-Square and Three-Stage Least Squares in Fixed Effects Models by Joshua Angrist [Downloadable!] 1984 Manipulations and repeated games in future markets by Chichilnisky, Graciela [Downloadable!] Designing the Financial Tools to Promote Universal Free-Access to AIDS Care by Patrick Leoni & Stéphane Luchini [Downloadable!] Design the Financial Tool to Promote Universal Free Access to AIDS Care by Patrick Leoni & Stéphane Luchini [Downloadable!] Corporate Bond Valuation with Both Expected and Unexpected Default by Marco Realdon [Downloadable!] Valuation of Put Options on Leveraged Equity by Marco Realdon [Downloadable!] Convertible Subordinated Debt Valuation and "Conversion in Distress" by Marco Realdon [Downloadable!] Valuation of Exchangeable Convertible Bonds by Marco Realdon [Downloadable!] Impact of Liquidity on the Futures–Cash Basis: Evidence from the Indian Market by Palani-Rajan Kadapakkam & Umesh Kumar [Downloadable!] “Stock PIKs”- Taking a firm by its tails by Karan Bhanot & Antonio S. Mello [Downloadable!] Is Trading Imbalance a Better Explanatory Factor in the Volatility Process? Intraday and Daily Evidence from E-mini S&P 500 Index Futures and Information-Based Hypotheses by An-Sing Chen & Hui-Jyuan Gao & Mark Leung [Downloadable!] Competition for Order Flow and Market Quality in the Gold and Silver Futures Markets by Karan Bhanot & Valeria Martinez & Zi Ning & Yiuman Tse [Downloadable!] Credit Spread Specification and the Pricing of Spread Options by Nicolas Mougeot [Downloadable!] Theory of Continuously-sampled Asian Option Pricing by Jin E. Zhang [Downloadable!] Ambiguity Aversion and the Term Structure of Interest Rates by Laurent BARRAS & Patrick Gagliardini & Paolo Porchia & Fabio Trojani [Downloadable!] A Market Model for Stochastic Implied Volatility by Schönbucher, Philpp J. [Downloadable!] The Stochastic Finite Element Method and Application in Option Pricing by Look, Stefan Stock Evolution under Stochastic Volatility: A Discrete Approach by Leisen, Dietmar P.J. [Downloadable!] Fair Valuation of Life Insurance Liabilities: The Impact of Interest Rate Guarantees, Surrender Options, and Bonus Policies by Peter L›chte J›rgensen & Anders Grosen [Downloadable!] Semiparametric Analysis of Stationary Fractional Cointegration and the Implied-Realized Volatility Relation in High-Frequency Options Data by Bent Jesper Christensen & Morten Ø. Nielsen [Downloadable!] Market Forces and Dynamic Asset Pricing by Goran Peskir & Jamsheed Shorish [Downloadable!]
This page was last updated on 2009-11-15.
IDEAS at the Department of Economics , College of Liberal Arts and Sciences , University of Connecticut using RePEc data on a server sponsored by the Society for Economic Dynamics . 
